Stata 6: How can I remove collinear variables from a varlist?

Assuming your Stata ado-files are up to date (type update query), type

        . help _rmcoll

_rmcoll is not documented in the manual, but it is the routine most Stata-written ado-files use to drop variables due to collinearity. _rmcoll’s syntax is

        _rmcoll varlist [in range] [if exp] [weight] [, noconstant]

and _rmcoll returns in r(varlist) the names of the variables from varlist that form a noncollinear set. If any variables are collinear, a message is also displayed for each:

        Note:    __________ dropped due to collinearity

(Also see the help for the related _rmdcoll command.)