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st: RE: detecting a dropped variable programatically


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: detecting a dropped variable programatically
Date   Fri, 19 May 2006 06:34:28 -0500

You could use -_rmcoll- before the regression command is issued to find the
collinear variables.

For example:

sysuse auto,clear
gen p2 = price
local vars  "price weight trunk p2"
_rmcoll `vars'
local vars2 = r(varlist)
local dropped_var : list vars - vars2
disp "`dropped_var'"
reg mpg `vars2'

Scott


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Mark
> Sent: Friday, May 19, 2006 2:55 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: detecting a dropped variable programatically
> 
> I am writing a program that runs through potentially tens of thousands
> of regressions.  During this evaluation, I sometimes end up with
> collinear variables.  (Not really, but very nearly collinear, and so
> numerically stata ends up thinking they are.)  I know that I can look
> thru the e(V) matrix looking for a value of zero on the diagonal.  But
> doing this for every regression means another loop inside the main loop
> that may run tens of thousands of times.
> 
> Does anyone know of a way to detect a dropped variable without a loop?
> 
> What would be nice is if the regression routine would return an
> indicator of a dropped variable.  But I dont see this, nor any obvious
> way to find it based on the return values except for searching thru
> e(V).  Any ideas appreciated.
> 
> Thanks!
> 
> Mark
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