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RE: st: RE: Multicollinerity test in IV regression


From   "Nichols, Austin" <ANichols@ui.urban.org>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Multicollinerity test in IV regression
Date   Wed, 13 Oct 2004 17:45:19 -0400

Um... if X1+X2=0 then the coefficient on (X1+X2)
must be indeterminate, no?

See 
_______________________________
Dufour, J.-M. and M. Taamouti (2003), 
"Projection-Based Statistical Inference in Linear 
Structural Models with Possibly Weak Instruments", 
Discussion Paper, C.R.D.E., Université de Montréal, 42 pages
_______________________________
for another approach to possibly collinear X's

-----Original Message-----
A better solution might be to replace all offending predictors
by (a) linear combination(s) that make sense.  For example if
X1+X2=0, then drop both X1 and X2 and replace them with the
new variable X1+X2. You can extend this to the more general
situation.

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