. which _rmcoll
confirms that -_rmcoll- is built-in. There
is some documentation in [P] but I cannot
confirm Roger's conjecture, although it
does seem that is the way that -_rmcoll-
might well be written.
Nick
[email protected]
Roger Newson
> A query re -_rmcoll-. As I understand it, this is implemented at the
> executable level. (At any rate, I cannot find a -_rmcoll.ado-
> anywhere in
> my c:\Stata8\ados\ path of my Windows 2000 system.) It is
> therefore not
> immediately obvious exactly how it chooses which of a set of
> collinear
> variables to drop. However, I get the impression (by
> experimenting) that it
> builds a list of non-collinear variables iteratively by
> starting with an
> empty list and iterating along the -varlist- of candidates
> provided, from
> the first variable to the last in the given order, testing at
> each step
> whether the latest candidate is a linear combination of the existing
> non-collinear list, and adding the candidate to the list if
> it isn't. In
> "pidgin Stata", I get the impression that it works something
> like as follows:
>
> local ncvarlist ""
> foreach X of var `origvarlist' {
> if islinearlydependent(`X' `ncvarlist') {
> disp as text "Note: `X' dropped due to collinearity"
> }
> else {
> local ncvarlist "`ncvarlist' `X'"
> }
> }
>
> where -ncvarlist- is the list of non-collinear variables
> being assembled,
> -origvarlist- is the original variable list provided, and
> -islinearlydependent(varlist)- is a fantasy function
> returning 1 if the
> variables of -varlist- are linearly dependent and 0
> otherwise. I get that
> impression because, if I include 2 variables with identical
> values in a
> list of X-variables, then it is the second one that is
> dropped, not the first.
>
> Can I assume that, in general, this is how -_rmcoll- works?
> And, if not,
> then how does it work?
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