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11-19-2012, 05:08 PM
  #19
barneyg
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Quote:
Originally Posted by Czech Your Math View Post
I can see why that could be important. However, many of the high cross-correlations seem to have been in large part due to contemporaneous changes in the trends of the variables which don't have much logical basis. IOW, in many cases I would have expected much less correlation or even correlation in the opposite direction.
As I wrote in the post that followed, it doesn't really matter whether those correlations make intuitive sense -- high correlations in the regressors can mess up the results big time.

That said, I would assume that going all the way back to 1964 is going to mitigate some of your problem because you'll be adding years where expansion led to increase scoring (reducing the correlation between Xn and Xg), while keeping the % of Euros relatively constant (reducing correlation of Xe with everything else).

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