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st: Probit and MultiCollinearity


From   "Joan A. Williams" <jawillia@princeton.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Probit and MultiCollinearity
Date   Tue, 11 Nov 2003 12:32:43 -0600

Hello to all:

I am using the xi interaction expansion command in conjunction with the probit command in my analyses.
Xi is automatically suppose to drop one category in each categorical variable in order to avoid multicollinearity. However, when the iterations are run, I receive the message for nearly all of my interactions "Dropped due to collinearity". However, Stata still reports the coefficients and p-values. Does anyone have any suggestions to why this is so? Or what to due to mitigate such a problem? Thanks again.

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