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Re: st: multicollinearity test for probit?
At 01:27 PM 12/10/2003 -0800, you wrote:
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?
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?
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
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
Richard Williams, Associate Professor
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