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RE: st: multicollinearity


From   "Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: multicollinearity
Date   Thu, 20 Nov 2008 16:15:19 -0500

Chris Witte wrote:

>Regarding variance inflation factors:  I just tried out the -collin- function for fun.  Is there a generally accepted VIF value that should raise a red flag?... Or is this something that people argue about too?  I seem to recall that VIF's above 10 are supposed to be bad, right? <

There aren't any hard and fast rules but (a) something that sticks out above the rest markedly is suspect and (b) 10 is bad, as you say. Much depends on the nature of your problem. 

JV

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