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st: how to test for multicollinearity with xtreg

From   ross hanig <[email protected]>
To   [email protected]
Subject   st: how to test for multicollinearity with xtreg
Date   Fri, 29 Jul 2005 18:20:49 -0500

Dear STATA listserve,

I'm running regressions on panel data using the xtreg command but the
VIF command does not seem to work. I was wondering if anyone knows of
any STATA commands to test for the presence of multicollinearity as an
option with the xtreg command. Particularly, since there is little
within country variation with one of my variables, but significant
between country estimation, I suspect the fixed effects specification
is causing collinearity with the fixed effect for each cross section
and the variable mentioned above.

I would be extremely grateful for any tips.

Ross Hanig

Department of Agricultural and Consumer Economics
1301 West Gregory Drive
405 Mumford Hall
Urbana, IL 61801
[email protected]

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