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st: collinearity adjustment


From   Fabio Zona <fabio.zona@unibocconi.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: collinearity adjustment
Date   Mon, 15 Mar 2010 09:27:37 +0100 (CET)

Dear Statlists

centering variables around their means is a standard procedure to solve the problem of multicollinearity which arises when dealing with interaction terms and linear/quadratic terms.

I tried to center my variables, but, after centering, -collin- commands tell VIF values are still very high; maybe it depends on the fact that in my database there are thousands of zero-observations, and the mean is very close to zero: as a consequence, subtracting the mean from the variable does not change it enough to solve the problem of multicollinearity.

Is my interpretation correct? Any idea on how I might solve this problem?

Thanks a lot


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