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Re: st: collinearity adjustment


From   Michael Norman Mitchell <Michael.Norman.Mitchell@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: collinearity adjustment
Date   Mon, 15 Mar 2010 01:47:11 -0700

Dear Fabio

I wonder if you have collinearity arising from another source, other than including interaction terms. Maybe including output showing your model without the interaction terms and the VIF, then the model with the interaction terms and the VIF, and the model with the centered terms and the VIF would help provide the information to be able to diagnose the problem.

I suggest this because, from what I am imagining, centering around the mean should have solved collinearity resulting from squared terms, regardless of the preponderance of zeros.

Best regards,

Michael N. Mitchell
See the Stata tidbit of the week at...
http://www.MichaelNormanMitchell.com

On 2010-03-15 1.27 AM, Fabio Zona wrote:
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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