Re: st: multicollinearity and heteroskedasticty in panel models

[Steven Samuels <sjhsamuels@earthlink.net>]

Welcome, Lamia! Be sure to read the Statalist FAQ, especially section  
3. You will increase your chance of a helpful response if you give  
details of your specific problem. For example: what kind of design  
generated your data? A complex survey? What is the purpose of your  
analysis--estimating fixed effects of particular predictors with  
others in your model? estimating components of variance? both? ? What  
are your outcomes? Is there any particular analysis you've seen that  
you would like Stata to duplicate?

I don't think that anyone can answer your question about  
heteroskedasticity without such details. Meanwhile, "search  
heteroskedastic, all" may lead you to some useful information. And, a  
google search with terms "statalist heteroskedastic" will turn up  
previous posts.

Collinearity applies to fixed effects, not random ones, so you can  
discover collinear variables by running -reg- on your fixed  
covariates and then -estat vif- afterwards. You "account" for it as  
you would in ordinary regression-opinions and options differ and  
there is no automatic method. If your program does not drop variables  
because of multicollinearity, many people would do nothing.  Type  
"search collinear, all" to see some helful resources. A google search  
on "statalist collinearity" or "statalist multicollinearity" will  
show you previous posts on the topic.

-Regards,

Steven



On Aug 29, 2008, at 3:35 PM, lamia chourou wrote:


> Dear all,
> I am new user of STATA. I have a random effect model and I'd like  
> to test the presence of multicollinearity and heteroskedasticty and  
> to account for them.  Is there a STATA command that do the job?
>
> Thanks a lot
>
>
>
>        
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