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st: Fwd: Multicollinearity


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fwd: Multicollinearity
Date   Mon, 3 Jun 2013 09:32:36 +0200

--- Prakash Kashwan wrote:
> I am unable to use the stata-listserv, and hence this private
> email to you.

This is probably because you did not sent your message as plain text.
This is explained in the Statalist FAQ
<http://www.stata.com/support/faqs/resources/statalist-faq/#toask>

> I am following up on your response to an old thread about
> multicollinearity (http://www.stata.com/statalist/archive/2010-07/msg00675.html).
> I liked your response, which goes against the grain of the
> received wisdom which would have us treat multicollinearity
> as a problem. Have you or someone else published
> something to this effect, which I can cite in a paper?

What is recieved wisdom is very much dependent on which
(sub-(sub-))discipline one belongs to. Here is a fun quote:

"Econometrics texts devote many pages to the problem of
multicollinearity in multiple regression, but they say little about
the closely analogous problem of small sample size in estimation a
univariate mean. Perhaps that imbalance is attributable to the lack of
an exotic polysyllabic name for 'small sample size'. If so, we can
remove that impediment by introducing the term micronumerosity."

Chapter 23.3. of Goldberger, A. S. (1991). A Course in Econometrics.
Harvard University Press, Cambridge MA.

Hope this helps,
Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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