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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: _rmcoll query |

Date |
Tue, 15 Feb 2005 21:36:10 -0000 |

. which _rmcoll confirms that -_rmcoll- is built-in. There is some documentation in [P] but I cannot confirm Roger's conjecture, although it does seem that is the way that -_rmcoll- might well be written. Nick n.j.cox@durham.ac.uk Roger Newson > A query re -_rmcoll-. As I understand it, this is implemented at the > executable level. (At any rate, I cannot find a -_rmcoll.ado- > anywhere in > my c:\Stata8\ados\ path of my Windows 2000 system.) It is > therefore not > immediately obvious exactly how it chooses which of a set of > collinear > variables to drop. However, I get the impression (by > experimenting) that it > builds a list of non-collinear variables iteratively by > starting with an > empty list and iterating along the -varlist- of candidates > provided, from > the first variable to the last in the given order, testing at > each step > whether the latest candidate is a linear combination of the existing > non-collinear list, and adding the candidate to the list if > it isn't. In > "pidgin Stata", I get the impression that it works something > like as follows: > > local ncvarlist "" > foreach X of var `origvarlist' { > if islinearlydependent(`X' `ncvarlist') { > disp as text "Note: `X' dropped due to collinearity" > } > else { > local ncvarlist "`ncvarlist' `X'" > } > } > > where -ncvarlist- is the list of non-collinear variables > being assembled, > -origvarlist- is the original variable list provided, and > -islinearlydependent(varlist)- is a fantasy function > returning 1 if the > variables of -varlist- are linearly dependent and 0 > otherwise. I get that > impression because, if I include 2 variables with identical > values in a > list of X-variables, then it is the second one that is > dropped, not the first. > > Can I assume that, in general, this is how -_rmcoll- works? > And, if not, > then how does it work? * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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