Dear Richard:
I thank you for your detailed reply.
For your information, I discovered the -vif, uncentered- because I had typed -vif- after -logit- and got the following error message:
not appropriate after regress, nocons;
use option uncentered to get uncentered VIFs
Best regards
Herve
***********************************************************
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>>> Richard Williams <[email protected]> 19/03/08 0:30 >>>
At 07:37 AM 3/18/2008, Herve STOLOWY wrote:
>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.
I'm surprised that -vif- works after logit; it is not a documented
post-estimation command for logit. Given that it does work, I am
surprised that it only works with the -uncentered- option. I wonder
if this is a bug and if the results mean anything.
I always tell people that you check multicollinearity in logistic
regression pretty much the same way you check it in OLS
regression. Multic is a problem with the X variables, not Y, and
does not depend on the link function. So, the steps you describe
above are fine, except I am dubious of -vif, uncentered-.
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME: (574)289-5227
EMAIL: [email protected]
WWW: http://www.nd.edu/~rwilliam
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