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st: If Stata drops regressors due to Colinearity: Has it automatically picked the right regressors then?


From   Jen Zhen <jenzhen99@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: If Stata drops regressors due to Colinearity: Has it automatically picked the right regressors then?
Date   Wed, 8 Dec 2010 17:29:19 +0100

Dear list members,

I'm running a Cox regression on a treatment variable along with 4
splines in age (created with -mkspline-), one for each of 4 periods in
which slightly different rules applied.

Like this, Stata drops most of the regressors due to Colinearity, even
though for many of the spline regressors there are observations for
which this spline is nonzero.

Am I correct to infer that my sample is simply not large enough to use
all these regressors and that I will therefore need to use for
instance only one spine for all 4 periods together?
If so, is there any way to make sure that my control function will
still take out any variation in my outcome duration that is correlated
with the treatment, but is not actually due to it?

Thanks a lot,
JZ
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