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From |
fabio.zona@unibocconi.it |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: chow test multicollinearity |

Date |
Sat, 26 Feb 2011 09:49:05 +0100 (CET) |

Hi, I run a chow test by running a single regression with dummy variables. The F statistic is significant; however, the interacted terms are strongly multi-collinear. What should I do in these case? a) is the chow test run through interacted terms (i.e. in one single regression) affected by the presence of multicollinearity among interacted terms? b) I think that, given multicoolinearity, I cannot trust significance of interacted coefficiencts, and hence cannot say that the predictors are different in the two subgroups; correct? c) is there a way to solve the multicollinearity? d) I know the command orthog to solve multicollinearity; however, can I apply this command after a predictor is squared? That is, ---- first calculate the standardized values of X ---- then get the square of this standardized value ---- calculate the product of each of these two variables with a moderator Q ---- and THEN using "orthog" on the values already standardized and interacted (i.e., orthog z_X z_Xsquare Q z_X*Q z_Xsquare*Q ) I fear this procedur might bias results. What do you think? e) since my problem is with multicollinearity affecting interactions, could I get the chow test from moderated regressions, and attributing this chow test to coefficients gotten in separate regressions? Thanks * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: chow test multicollinearity***From:*Ronan Conroy <rconroy@rcsi.ie>

**Re: st: chow test multicollinearity***From:*Fabio Zona <fabio.zona@unibocconi.it>

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