Re: st: multicollinearity test for probit?

[Richard Williams <Richard.A.Williams.5@nd.edu>]

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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