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st: RE: dropped constraints with testparm: what's the pattern?

From   "Maarten Buis" <>
To   <>
Subject   st: RE: dropped constraints with testparm: what's the pattern?
Date   Wed, 17 May 2006 13:45:30 +0200

Barankay, Iwan T wrote:
> I am doing some joint tests on coefficients of highly 
> correlated variables (like x x^2 x^3 x^4 etc.) with
> testparm. The output of testparm tells me that some
> constraints are dropped. I understand (right?) this
> is done to get a nonsingular matrix. Yet, what I would
> like to know is what the pattern or structure is with
> which Stata decides which constraints to drop?

The easy answer is that there is not really a meaningful 
pattern. There shouldn't be since if Stata drops a 
variable because of multicolinearity than that means it
is unable to distinguish between variables. If it is 
unable to distinguish between variables than why should
Stata prefer to keep one variable over the other?

If the correlation between variables is due to the fact
that the variables are polynomials, than you might want
to look at the -orthpoly- command, which creates
orthogonal polynomials.

Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z214 

+31 20 5986715

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