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Re: st: multicollinearity test for probit?


From   Richard Williams <Richard.A.Williams.5@nd.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: multicollinearity test for probit?
Date   Wed, 10 Dec 2003 16:59:07 -0500

At 01:27 PM 12/10/2003 -0800, you wrote:
Is there a similar command to vif following regress when using probit or
oprobit (or logit/ologit) to test for multicollinearity among independent
variables in a probit equation?
I was a little surprised the VIF command did not work after every estimation procedure. There is no particular reason that it should be limited to only working after regression that I know of. Perhaps this could be a suggested enhancement to Stata? Or maybe somebody has a vif2 command that I haven't found yet?

Some things you could try that I am aware of:

* Use the collin procedure (use Findit collin to get it). Typical format is collin x1 x2 x3. It'll give you vif, tolerance, some other stats. Since Y is not included in the var list, make sure sample selection is correct, i.e. make sure cases with md on Y are not included in the analysis. e.g. something like collin x1 x2 x3 if y < .

* Just go ahead and run your model using the regress command followed by vif. You don't want the regression results but the vifs will be fine.

* The vce command seems to work after every estimation procedure. vce displays the variance-covariance matrix of the estimators (VCE) after model fitting.

If there is a better post-estimation command available, I would like to know what it is too. A vif routine might be varied amidst other collinearity diagnostics.


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Richard Williams, Associate Professor
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