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st: Identical VIF values
From
Dave Wilson <[email protected]>
To
[email protected]
Subject
st: Identical VIF values
Date
Tue, 22 Feb 2011 21:12:44 -0800
Hi List,
I'm working with a sample dataset and attempting to bend the VIF function (or the alternative, collin) to my will. Here's the situation:
The two IVs, yearsdg and c_market, run just fine through the regression:
> . regress y yearsdg c_market
>
> ...
>
> ------------------------------------------------------------------------------
> y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> yearsdg | 979.4583 34.22053 28.62 0.000 912.2281 1046.689
> c_market | 39630.46 2131.883 18.59 0.000 35442.12 43818.79
> _cons | 35905.22 611.2754 58.74 0.000 34704.3 37106.14
> ------------------------------------------------------------------------------
I should now be able to run the "estat vif" command. It runs successfully, but, oddly, I get identical VIF and tolerance values:
> . estat vif
>
> Variable | VIF 1/VIF
> ------------------+----------------------
> yearsdg | 1.01 0.993055
> c_market | 1.01 0.993055
> -------------+----------------------
> Mean VIF | 1.01
This doesn't make any sense to me. the two variables aren't highly correlated:
> . pwcorr yearsdg c_market
>
> | yearsdg c_market
> ------------------+------------------
> yearsdg | 1.0000
> c_market | -0.0833 1.0000
And, further odd, if I add another variable to the regression model, the vif function runs just fine:
> . estat vif
>
> Variable | VIF 1/VIF
> -----------------+----------------------
> yearsdg | 2.51 0.398715
> c_market | 1.01 0.989573
> yearsrank | 2.49 0.401212
> -------------+----------------------
> Mean VIF | 2.00
This also reveals that the two-variable model causes yearsdg to "borrow" the vif and tolerance values from c_market (the values are really those of c_market).
For final information, if I run the just-downloaded collin function, the results are the same:
> . collin yearsdg c_market
> (obs=514)
>
> Collinearity Diagnostics
>
> SQRT R-
> Variable VIF VIF Tolerance Squared
> ----------------------------------------------------
> yearsdg 1.01 1.00 0.9931 0.0069
> c_market 1.01 1.00 0.9931 0.0069
> ----------------------------------------------------
> Mean VIF 1.01
What is going on? Is there a reason the VIF function doesn't work with just two variables?
Thanks in advance for the help!
---
Dave
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