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Re: st: Negative Variance Inflation Factor-collin command


From   Richard Williams <Richard.A.Williams.5@nd.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Negative Variance Inflation Factor-collin command
Date   Tue, 22 Feb 2005 11:30:51 -0500

At 04:56 PM 2/22/2005 +0100, Diego Rei wrote:
Good day to all,
I am trying to run a  collinearity test using the command "collin", on
panel data with several dummies and I get a very large negative value of
the mean vif, apparently due to these dummies, which have each a large
negative value. However, if I run the simple vif command (which I cannot
use after xtgls, the command I d rather use) I get very sensible
positive values.
I assume you gave a -reg- command followed by -vif-? If so, I am surprised -collin- isn't producing the same results (and even more surprised that you are getting negative vifs! That isn't supposed to be possible, is it?)

A few things to try:

* Make sure you have the most current version of -collin-. It has been updated a few times over the past year.

* Make sure sample selection is the same; missing data on y can cause -collin- to give different results than a corresponding -reg- -vif- combo. E.g. do something like

collin x1 x2 x3 if !missing(y)

* Perhaps there is some bug or limitation in -collin- that zaps it when there are too many variables? It uses all these matrix algebra commands, so I am not sure what its limits are.

* If all you want are the vifs, there is nothing particularly wrong with what you are doing. Just remember that whatever you do, this is probably more like an approximation than an exact result, since the time series nature of the data is not being taken into account.


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Richard Williams, Notre Dame Dept of Sociology
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