Re: st: Detect Multicollinearity

[Richard Williams <Richard.A.Williams.5@nd.edu>]

At 04:26 PM 3/12/2004 -0500, Lijun Song wrote:
> Hi all,
>
> We can use vif to detect multicollinearity after the OLS. But which
> command should I use if I want to detect multicollinearity in the logit
> modle?
This same basic question came up on Dec. 10, 2003; see the thread that 
starts here:

http://www.stata.com/statalist/archive/2003-12/msg00333.html

Key thing to realize is that multicollinearity involves the IVs, and the 
appropriate diagnostics are pretty much the same regardless of whether you 
are using OLS, logit, probit, or whatever.

Here is part of the advice I gave on Dec. 10, and others had additional 
suggestions:

Some things you could try that I am aware of:

* Use the -collin- procedure (use -findit collin- to get it). Typical 
format is -collin x1 x2 x3-. It'll give you vif, tolerance, some other 
stats. Since Y is not included in the var list, make sure sample selection 
is correct, i.e. make sure cases with md on Y are not included in the 
analysis. e.g. something like -collin x1 x2 x3 if y < .-

* Just go ahead and run your model using the regress command followed by 
vif. You don't want the regression results but the vifs will be fine.



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