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Re: st: Multicollinearity


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Multicollinearity
Date   Sun, 08 Aug 2004 11:11:05 +0100

Clive,

Thanks for your help. I had run the -collin- command and strangely enough, the -i.dneg_slvk- variable didn't seem to pose a problem. However, when I dropped the variable altogether from the model, the results improved considerably. Not quite sure what that means, but I'm working on it.

Cordula

--On 07 August 2004 04:09 +0100 Clive Nicholas <Clive.Nicholas@newcastle.ac.uk> wrote:


Cordula Stolberg wrote:

I have a question related to multicollinearity. I run the following
regression:

xi: ivreg2 lfrag lfdi (lspec = lexp liit76 liit54) i.dapp_cz i.dapp
i.dapp_slvk i.dag i.dneg i.dneg_slvk i.dgo i.dcz i.dhun i.dslvk

The problem is that Stata -no matter whether I use -ivreg2-, -reg-, or
-xtreg- includes the variable "i.dneg_slvk" always twice and then drops
it to avoid multicollinearity (see below):
[...]

Does anyone know why Stata does this and how I can avoid it? Any
suggestions would be much appreciated.
I think this is a problem that has to be 'played by eye', as it were. One
solution would be to download Phil Ender's -collin- package from SSC, so
that you can evaulate just which variables are co-linear with which
others. Once done, you then have to make a judgement as to whether those
variables that have very low tolerance ought to be dropped manually from
your model, which very well include the variable in question.

I hope that helps.

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
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