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RE: st: Check collinearity


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Check collinearity
Date   Sun, 8 Jan 2012 08:34:44 -0500

Zhang,

I wouldn't just drop a dummy from each set, or take any measures without first rigorously examining the collinearity situation. Have a look at -coldiag2- and a more recent R package by Hendrickx:

Hendrickx, J. (August 16, 2004). COLDIAG2: Stata module to evaluate collinearity in linear regression.http://ideas.repec.org/c/boc/bocode/s445202.html

Hendrickx, J. (January 2, 2012). Tools for evaluating collinearity: Package ‘perturb’, Version 2.04.
http://cran.r-project.org/web/packages/perturb/perturb.pdf
http://cran.r-project.org/web/packages/perturb/index.html
Cam

> Date: Sun, 8 Jan 2012 18:17:59 +0800
> Subject: st: Check collinearity
> From: zmyfudan@gmail.com
> To: statalist@hsphsun2.harvard.edu
> 
> Dear Statalists,
> 
> I am estimating a system of equations with two sets of dummies using
> -sureg-. I have encountered the error:
> 
> redundant or inconsistent constraints
> r(412);
> 
> which I believe could be caused by collinearity between dummies. I
> have already dropped one dummy for each set, but due to the large
> number of categories, there is still possibility of collinearity
> within the sets of dummies. Is there any way to check collinearity
> and, if it exists, get rid of some dummies to eliminate collinearity?
> 
> Best,
> 
> -- 
> Zhang Muyang
> China Center for Economic Research
> Peking University
> Beijing, 100871
> China.
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