Stata 15 help for _rmcoll2list

Title

[P] _rmcoll2list -- Programmer's command to check for collinearity in the union of two lists of variables

Syntax

_rmcoll2list, alist(varlist) blist(varlist) normwt(varname) touse(varname) [name(string)]

options Description ------------------------------------------------------------------------- alist(varlist) first list of variables blist(varlist) second list of variables normwt(varname) normalized weight variable touse(varname) marks estimation sample name(string) used to label output -------------------------------------------------------------------------

Description

_rmcoll2list takes two lists of variables, A and B; forms the union of the two lists; and then checks for collinearity, removing variables in the B list if necessary to obtain a linearly independent set. The variables in A are assumed to be linearly independent, as are the variables in B; you must use _rmcoll or some such on each list individually before calling _rmcoll2list. Returned in r(blist) is the subset of the B list that together with the A list forms a linearly independent set of variables.

Options

alist(varlist) contains the first list of variables.

blist(varlist) contains the second set of variables. These variables are considered for elimination to obtain a linearly independent set.

normwt(varname) contains a normalized weight variable. If your command takes fweights, pweights, aweights, or iweights, you must create a new variable containing the normalized weights, where the normalization process is discussed in Methods and formulas of [R] regress. This is necessary because Mata understands only one type of weight variable. If your command does not accept weights, create a temporary variable containing one for every observation.

touse(varname) contains a 0/1 variable that marks the estimation sample.

name(string) controls how dropped variables are labeled. See Remarks below.

Remarks

_rmcoll2list is used to form a linearly independent set of variables from two smaller sets of linearly independent variables, removing variables from the second list if necessary. For example, ivregress first checks that the set of endogenous and included exogenous regressors are not collinear. It then checks that the additional instruments are not collinear. Finally, it calls _rmcoll2list to ensure that the endogenous, exogenous, and instrumental variables are not collinear, eliminating instruments if necessary to avoid collinearity. By using _rmcoll2list instead of _rmcoll, we ensure that additional instruments are eliminated (if necessary) and that our noncollinear set of endogenous and exogenous regressors is kept intact.

If the name(string) option is not specified and a member of the second list must be removed, the message

note: varname dropped because of collinearity

is displayed. If you specify, say, name(inst), because your command has an option named inst(), the error message is

note: varname dropped from inst() because of collinearity


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