Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: Collinear variables


From   "Feiveson, Alan H. \(JSC-SK311\)" <[email protected]>
To   <[email protected]>
Subject   st: RE: Collinear variables
Date   Mon, 26 Mar 2007 08:07:25 -0500

If variables in a regression model are collinear, there are an infinite
number of parameter estimates (i.e. "coefficients") that will give the
best fit. Stata has a default procedure that "removes" variables from
the model (i.e. by constraining their coefficients to be zero) to make
the solution unique. However in simple linear regression, you could
impose your own linear constaints such as (1) b1 +3*b4 - b7 = 23, 2(2)
13b3-b5=-0.1234,  etc. using -cnsreg-.  Another is the nocons option
(constraining b0 = 0). If you impose your own constraints, there must be
enough of these to make the system linearly independent, otherwise Stata
will still set some coefficients to zero.

However if you are doing something other than simple linear regression,
such as -glm- , Stata may not allow the specification of linear
constraints in the same manner that -cnsreg- does.

Al Feiveson

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Silvia
Mendolia
Sent: Sunday, March 25, 2007 11:41 PM
To: [email protected]
Subject: st: Collinear variables

Hello everybody,

does anybody know how to tell to Stata that  collinear variables do not
have to be removed?
I know there is an option collinear, but it doesn't seem to work for
linear or probit regressions.

I am aware of the possibles negative consequences of this, but I just
need to know how to do this...

Thank you very much,

Silvia
*
*   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/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index