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st: RE: vif after newey2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: vif after newey2
Date   Fri, 1 Oct 2010 17:33:46 +0100

Leandro,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Leandro Brufman
> Sent: Friday, October 01, 2010 5:11 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: vif after newey2
> 
> Hi everyone,
> I'm using Stata 10.1
> I would like to analyze possible problems of multicollinearity among
> the regressors X of the following regression:
> ** newey2 y x1 x2 x3, lag(#) force
> I was about to use ** estat vif **, but it returns
> 
> . estat vif
> invalid subcommand vif
> r(321);
> 
> I guess that estat vif is a postestimation command for regress but not
> for newey2. Any ideas on how to perfor this task?

The version of David Roodman's newey2 on my machine is accompanied by a
neweyvif command.  Just

neweyvif

after your estimation should give you what you want.

--Mark

> I was running **
> estat vce, corr ** to analyze correlation among regresors, but that's
> not the same as having the Variance Inflation Factor.
> 
> Many thanks in advance!
> L.
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