|From||Marcello Pagano <firstname.lastname@example.org>|
|Subject||Re: st: RE: Multicollinerity test in IV regression|
|Date||Wed, 13 Oct 2004 17:33:55 -0400|
I assert that multicollinearity is a property of the predictors and does not depend on what--
you do with them before, during or after any examination of multicollinearity.
You can look at the structure of relationships with -graph matrix-; get numerical summaries by using -correlate-; and use -_rmcoll- to look further.
Whether there is some omnibus test of multicollinearity I do not know. If there were, it wouldn't necessarily be helpful in indicating what to do.
I have always found it most useful to think about the meanings of variables and the roles they play in terms of the underlying science. That is, reflection often makes it seem unsurprising
that two or more variables are highly correlated, so that they tell the same story and only one need be recorded.
However, there are other issues particularly where lots of dummies are included.
Just to ask one simple question, how do I test for the existence of*
multicollinearity after using ivreg2 command.
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