Unzip the files in your personal ado directory (e.g. c:\ado\personal)
and run the perturb command, e.g.
global ptrans1 "exp2=exp^2"
*set trace on
#delimit ;
perturb: xi3: reg ses fses*eyr educyr*eyr fses*exp educyr*exp exp2,
poptions(pvars(eyr exp) prange(5 5) niter(10)) beta;
#delimit cr
Use -help perturb- for further information.
--- "Lin, Chung-Tung" <[email protected]> wrote:
> That's great. Which of the 4 files does this? Thank you.
>
> Jordan Lin
> Consumer Studies Team
> Food and Drug Administration
> 5100 Paint Branch Parkway, HFS-727
> College Park, MD 20740
> (Tel) 301-436-1831
>
> -----Original Message-----
> From: John Hendrickx [mailto:[email protected]]
> Sent: Wednesday, January 14, 2004 11:14 AM
> To: [email protected]
> Subject: Re: st: Re: collinearity and xtprobit, xtlogit
>
> As noted in the thread referred to here, collinearity is a problem
> among the independent variables. An often used approach is to run a
> regression with any dependent variable and then run the
> collinearity
> diagnostics.
>
> I proposed an alternative approach in my posting to that thread.
> Collinearity is a problem if independent variables are so strongly
> correlated that estimates become unstable, i.e. if a small change
> to
> one of the independent variables causes strongly different
> parameter
> estimates. I've written an ado-program that will do this for you.
> It
> estimates your model 100 times, adding a random value to specified
> variables at each iteration. It's not limited to regression models
> and it can handle interactions, transformed variables, and
> categorical variables.
>
> A priliminary version is available at
> http://www.xs4all.nl/~jhckx/stata/perturb/
> Take a look and let me know what you think.
>
> John Hendrickx
>
> --- john emmet <[email protected]> wrote:
> > Dear Scott,
> > Thanks very much for replying.
> >
> > I'm sorry, I must not have explained myself very clearly in my
> > original
> > posting.
> >
> > I did mention, though that if I were using a cross-sectional
> > dataset I
> > would probably use -collin- but as I am not I can't. The
> dataset
> > is a
> > panel set with 6 panels and I am using xtprobit (but could
> consider
> > xtlogit)
> >
> > I suppose I am trying to evaluate the situation relating to
> > multicollinearity with time series cross-sectional analysis.
> >
> > Any help or advice from will be very gratefully received.
> >
> > John
> >
> > > 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?
> > >>
> > >> *
> > >> * For searches and help try:
> > >> * http://www.stata.com/support/faqs/res/findit.html
> > >> * http://www.stata.com/support/statalist/faq
> > >> * http://www.ats.ucla.edu/stat/stata/
> > >
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/support/faqs/res/findit.html
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> > >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
>
>
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> * http://www.stata.com/support/statalist/faq
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> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
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*
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