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st: Re: collinearity and xtprobit, xtlogit


From   "Scott Merryman" <[email protected]>
To   <[email protected]>
Subject   st: Re: collinearity and xtprobit, xtlogit
Date   Mon, 12 Jan 2004 18:22:31 -0600

One possibility would to be to use -collin-

I would also suggest you take a look at the thread started by Matt Barreto on
December 10th, 2003 ("multicollinearity test for probit?"), and the replies by
Richard Williams, Nick Cox, Joao Pedro W. de Azevedo, and John Hendrickx.

Scott

----- Original Message ----- 
From: "john emmet" <[email protected]>
To: <[email protected]>
Sent: Monday, January 12, 2004 10:04 AM
Subject: st: collinearity and xtprobit, xtlogit


> Hi
>
> I am new to panel data analysis, and I don't seem to be able to forget my
> experience when using cross-sectional analysis in terms of avoiding
> multicollinearity amongst explanatory variables.  All the analysis is
> using binary dependent variables.
>
> If I were doing logit I would probably use the collin command and examine
> the VIF, tolerance, etc.
>
> If I look at the correlation coefficients for the panel dataset (6 panels)
>  they are very high for some explanatory variables, but then.  But there
> is obviously some collinearity between the RHS variables because when I
> put one variable in particular in the model, it affects the prob values,
> SEs and coefficients.
>
> Am I completely missing a point somewhere????
>
> Is there a test for using with xt models?
>
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