----- Original Message -----
From: "James Valcour" <[email protected]>
To: <[email protected]>
Sent: Tuesday, July 08, 2003 10:45 AM
Subject: st: Overriding dropping of collinear variables
> Is there a way to tell Stata (either v7 or v8) not to drop collinear
variables?
> Usually I wouldn't try and do this, but I'm trying to compare some
output
> produced from SAS's proc genmod with some glm output from Stata. SAS
doesn't
> automatically drop collinear variables. I'm trying to do this because all
the
> examples from a course I recently took were in SAS and I'm trying to see
if I
> can get the same results from Stata.
>
> I'm a regular Stata user and after using SAS again (I hadn't used it in a
number
> of years) I'm even more of a proponent of Stata.
>
> Thanks!
>
> James Valcour
>
I don't know if you can, however, I would be more concerned with SAS
estimating a model with perfectly collinear variables. A standard
assumption in OLS is that the data matrix X is of full column rank. If you
have collinear variables then this assumption is violated and the parameters
cannot be identified.
I believe that SAS will produce the following footnote in the output
regarding this problem:
"NOTE: The X'X matrix has been found to be singular and a generalized
inverse was used to solve the normal equations. Estimates followed by
the letter 'B' are biased, and are not unique estimators of the
parameters."
Employing a generalized inverse as a solution to collinearity that SAS has
implemented strikes me a particularly dangerous.
Hope this helps,
Scott
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