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st: re: vif after newey2


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: re: vif after newey2
Date   Fri, 1 Oct 2010 21:39:36 -0400

<>
Leandro said

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? I was running **
estat vce, corr ** to analyze correlation among regresors, but that's
not the same as having the Variance Inflation Factor.


Although as Mark Schaffer points out, with 'newey2' has an accompanying 'neweyvif', this is quite unnecessary. newey (or newey2), like regress with the robust option, yields the standard OLS coefficients, but a different VCE. The VCE does not enter the formula for the VIF. The VIF is only a function of the regressors, so VIF after regress, regress, robust and newey should be the same.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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