Thanks to Kit, new versions of -coldiag2- and -perturb- are available
from SSC. -coldiag2- is for calculating condition indexes and
variance decomposition proportions in order to evaluate collinearity
and track its sources. The new version of can be use as a
post-estimation command like -vif-. There's a "fuzz" option to
suppress printing small variance decomposition values and it's also
more intelligent about missing values.
-perturb- is a general tool for evaluating collinearity and
ill-conditioning. It adds random noise to selected variables, then
re-estimates the model a number of times to determine parameter
stability. If small changes to variables cause disproportionate
changes to parameters, then the model is ill-conditioned.
-perturb- works with categorical variables. In that case, the
variables are reclassified according to table of reclassification
probabilities. The new version lets you simply specify a degree of
misclassification, then determines suitable reclassification
probabilities that approximate the desired degree of
misclassification such that these have an "appropriate" pattern of
association. Comments invited!
John Hendrickx
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