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st: Re: Overfitting?


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Overfitting?
Date   Sat, 14 Feb 2009 09:54:00 +0100

<>

Stata provides a lot of postestimation commands for -regress- (did you use regress?) Among them: -estat vif- which highlights collinearity, and -estat ovtest- which checks for omitted vars...

HTH
Martin
_______________________
----- Original Message ----- From: "Shell makka" <shell.makka@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, February 14, 2009 7:27 AM
Subject: st: Overfitting?


Dear statalist

Would you please let me know that when effect of one covariate flips
in the multivariate model, is it only because of overfitting or it can
have other reasons. This variable was significant in the univariate
analysis but when I used it in multivariate model which contained
another covariate that these too could be also colinear (one is
calander year and the other is year of
starting the study) it became insignificant and its effect reversed.

Kind regards,
Shell
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