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st: new command for variance inflation factors of instrumented regressions


From   "David Roodman" <DRoodman@CGDEV.ORG>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: new command for variance inflation factors of instrumented regressions
Date   Fri, 14 Oct 2005 05:44:16 -0400

I modified the official Stata command, -vif-, which computes variance inflation factors, to run after -ivreg- and -ivreg2-. Essentially, -ivvif- just computes the VIFs of the second-stage regression in two-stage least squares. Like -vif-, it also works after -regress-. The only other change from -vif- is that it also stores the results in a matrix, called r(vif), which can be a bit easier to work with programmatically than -vif-'s usual return macros. 
 
To install, type
 
	ssc install ivvif, replace
 
 in Stata.
 
--David
 
-------
 
If you like ivvif, you'll love
	xtabond2 - Arellano-Bond/Blundell-Bond linear dynamic panel GMM estimators
	abar - Arellano-Bond AR(i) test, which is appropriate after panel regressions run with regress, ivreg, ivreg2 with robust or clustered errors and also after "ivreg2, gmm".
	collapse2 - extension to Stata collapse command that includes first, last, first non-missing, and last non-missing operators for constructing panels and cross-sections.
 
David Roodman
Research Fellow
Center for Global Development
1776 Massachusetts Ave. NW
Washington, DC 20036
+1 (202) 416-0723
fax: +1 (202) 416-0750
 


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