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Re: st: condivreg/Multicollinearity


From   richard boylan <[email protected]>
To   [email protected]
Subject   Re: st: condivreg/Multicollinearity
Date   Sun, 12 Sep 2010 18:21:31 -0500

Thanks. This seems like it would work although I still haven't tested
it since STATA 10 does not have
the option "forcedrop" for _rmdcoll. I am trying to work around it.

On Fri, Sep 10, 2010 at 2:52 AM, Vassilopoulos Achilleas
<[email protected]> wrote:
>
> Then I guess that your collinearity doesn't arise only from the first step
> but also from the next steps of the -ivregress-.
> -ivregress- uses three tests for collinearity, one after the other, before
> the estimation. What you can do is to replicate these tests by hand and save
> the non-collinear variables of every step so you can use them later. See
> below :
>
> _rmdcoll ENDOGENOUS INCLUDED-EXOGENOUS, forcedrop  (you may want to add
> noconstant also)    //checks for collinearity between endogenous vars and
> included exogenous//
>
> global first `r(varlist)'    //This global contains the set of non-collinear
> INCLUDED-EXOGENOUS vars//
>
> _rmcoll dummy1-dummy500     //checks for collinearity among instruments//
>
> global inst_first `r(varlist)'    //this global contains the dummies that
> are not collinear between themselves//
>
> _rmcoll2list, alist($first) blist($inst_first)   //checks for collinearity
> among the endogenous and all exogenous vars and further drops instruments
> until a linearly independent set is obtained //
>
> global inst `r(blist)'  //this global contains the final set of
> non-collinear instruments//
>
> I guess all you need from this point on are the globals $inst and $first
>
>
> Hope this helps,
> _____________ - _______________
>
> Achilleas Vassilopoulos
>
> Agricultural University of Athens,
> Dept. of Agricultural Economics and Rural Development, Lab. of Political
> Economy and European Integration.
> Iera Odos 75, 11855, Athens, Greece
>
> Tel: (+30) 210-5294726
> Fax: (+30) 210-5294786
> email : [email protected]
>
>
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of richard boylan
> Sent: 09 September, 2010 17:12
> To: [email protected]
> Subject: Re: st: RE: condivreg/Multicollinearity
>
> That does not work, I still get the same error message after "condivreg."
>
> ivreg eliminates many more dummy variable than only estimating the first
> stage with reg.
>
> So, ideally, I would want to follow the same procedure you described using
> ivreg if I knew how to access the first stage coefficients.
>
>
>
>
>
>
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>

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