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st: Multicollinearity and logit


From   "Herve STOLOWY" <stolowy@hec.fr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Multicollinearity and logit
Date   Tue, 18 Mar 2008 13:37:21 +0100

Dear Statalisters:

I have a question concerning multicollinearity in a logit regression.

How could I check multicollinearity? I tried several things.

- Correlation matrix: several independent variables are correlated.

- Logit regression followed by -vif, uncentered-.  I get high VIFs
(maximum = 10), making me think about a high correlation.

- OLS regression of the same model (not my primary model, but just to
see what happens) followed by -vif-: I get very low VIFs (maximum = 2).

- -collin- (type findit collin) with the independent variables: I get
very low VIFs (maximum = 2).

What is better? I am puzzled with the -vif, uncentered- after the logit
which returns very high VIFs.

Best regards

Herve Stolowy

***********************************************************
Professeur/Professor
President of the French Accounting Association
HEC Paris
Département Comptabilité Contrôle de gestion / Dept of Accounting and
Management Control
1, rue de la Liberation
78351 - Jouy-en-Josas
France
Tel: +33 1 39 67 94 42 - Fax: +33 1 39 67 70 86
mail: stolowy at hec dot fr
web: http://www.hec.fr/stolowy
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