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Re: st: Correcting Multicollinearity


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: Correcting Multicollinearity
Date   Thu, 29 Mar 2012 12:06:19 -0500

At 06:22 AM 3/29/2012, D. Demetriou wrote:
Thank you for your email.
Your help is greatly appreciated!
Sigma_u =0 is perhaps in this case explained by multicollinearity.
Is there any Stata tool to (partly) account for this defect(multicollinearity) after this has been indicated by, for example, vif or collin commands?
Truly yours,
Demetrios D.

There are some ways (at least some times) to deal with multicollinearity, e.g. you might be able to justify constructing a scale from the items or placing constraints on their effects. See p. 4 of

http://www.nd.edu/~rwilliam/xsoc63993/l11.pdf


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