Thank you Richard for your help.
After some more tries I think that the problem is really the number of
variables used.
Of course it is impossible to get a negative vif, being this defined as
1-r2, however,
because of the way the vif is constructed (regression of independent
variables on the others) I think you are right that the original command
used in the regression does not change the results, because the
accessory regressions should still be done by Stata through the reg
command.
Best Regards,
Diego
>>> [email protected] 02/22/05 5:30 pm >>>
At 04:56 PM 2/22/2005 +0100, Diego Rei wrote:
>Good day to all,
>I am trying to run a collinearity test using the command "collin",
on
>panel data with several dummies and I get a very large negative value
of
>the mean vif, apparently due to these dummies, which have each a
large
>negative value. However, if I run the simple vif command (which I
cannot
>use after xtgls, the command I d rather use) I get very sensible
>positive values.
I assume you gave a -reg- command followed by -vif-? If so, I am
surprised
-collin- isn't producing the same results (and even more surprised that
you
are getting negative vifs! That isn't supposed to be possible, is
it?)
A few things to try:
* Make sure you have the most current version of -collin-. It has been
updated a few times over the past year.
* Make sure sample selection is the same; missing data on y can cause
-collin- to give different results than a corresponding -reg- -vif-
combo. E.g. do something like
collin x1 x2 x3 if !missing(y)
* Perhaps there is some bug or limitation in -collin- that zaps it when
there are too many variables? It uses all these matrix algebra
commands,
so I am not sure what its limits are.
* If all you want are the vifs, there is nothing particularly wrong
with
what you are doing. Just remember that whatever you do, this is
probably
more like an approximation than an exact result, since the time series
nature of the data is not being taken into account.
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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HOME: (574)289-5227
EMAIL: [email protected]
WWW (personal): http://www.nd.edu/~rwilliam
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