cosn

 function co = cosn(H);
 computes the cosine of the angle between the H(:,1) and its
 projection onto the span of H(:,2:end)

 Not the same as multiple correlation coefficient since the means are not
 zero

 Copyright (C) 2008-2010 Dynare Team

 This file is part of Dynare.

 Dynare is free software: you can redistribute it and/or modify
 it under the terms of the GNU General Public License as published by
 the Free Software Foundation, either version 3 of the License, or
 (at your option) any later version.

 Dynare is distributed in the hope that it will be useful,
 but WITHOUT ANY WARRANTY; without even the implied warranty of
 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 GNU General Public License for more details.

 You should have received a copy of the GNU General Public License
 along with Dynare.  If not, see <http://www.gnu.org/licenses/>.

0001 function [co, b, yhat] = cosn(H);
0002 
0003 % function co = cosn(H);
0004 % computes the cosine of the angle between the H(:,1) and its
0005 % projection onto the span of H(:,2:end)
0006 %
0007 % Not the same as multiple correlation coefficient since the means are not
0008 % zero
0009 %
0010 % Copyright (C) 2008-2010 Dynare Team
0011 %
0012 % This file is part of Dynare.
0013 %
0014 % Dynare is free software: you can redistribute it and/or modify
0015 % it under the terms of the GNU General Public License as published by
0016 % the Free Software Foundation, either version 3 of the License, or
0017 % (at your option) any later version.
0018 %
0019 % Dynare is distributed in the hope that it will be useful,
0020 % but WITHOUT ANY WARRANTY; without even the implied warranty of
0021 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0022 % GNU General Public License for more details.
0023 %
0024 % You should have received a copy of the GNU General Public License
0025 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
0026 
0027 y = H(:,1);
0028 X = H(:,2:end);
0029 
0030 b=(X\y);
0031 yhat =  X*b;
0032 if rank(yhat),
0033     co = abs(y'*yhat/sqrt((y'*y)*(yhat'*yhat)));
0034 else
0035     co=0;
0036 end
0037 
0038 
0039