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Re: st: Fwd: Multicollinearity


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Fwd: Multicollinearity
Date   Tue, 4 Jun 2013 14:42:14 +0100

I would be interested in know of any real systems (physical,
biological, economic, political, social, you get to choose) in which
interesting predictors are expected to be uncorrelated.
Nick
njcoxstata@gmail.com


On 4 June 2013 15:35, Richard Williams <richardwilliams.ndu@gmail.com> wrote:
> Paul Allison offers some thoughts on when not to be worried about
> multicollinearity:
>
> http://www.statisticalhorizons.com/multicollinearity
>
> At 10:30 AM 6/3/2013, David Hoaglin wrote:
>>
>> It seems excessive to talk about "multicollinearity" when
>> "collinearity" is already general enough.
>>
>> Whether collinearity is a problem depends on how serious it is and on
>> the particular variables involved.  Pairwise correlations may not
>> provide enough information if the collinearity relation involves more
>> than two variables.  One can get at the details by using the
>> regression coefficient variance decomposition developed by David
>> Belsley and described in the book by Belsley, Kuh, and Welsch (1980).
>> The implementation in the user-written command -coldiag2- (from SSC,
>> as I recall) is useful.
>>
>> David Hoaglin
>>
>> Belsley D.A., Kuh E., Welsch R.E. (1980). Regression Diagnostics.
>> John Wiley & Sons.
>>
>> On Mon, Jun 3, 2013 at 3:32 AM, Maarten Buis <maartenlbuis@gmail.com>
>> wrote:
>> > --- 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
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>
>
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
> HOME:   (574)289-5227
> EMAIL:  Richard.A.Williams.5@ND.Edu
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>
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