st: condivreg/Multicollinearity

["Vassilopoulos Achilleas" <vassilopoulos.statalist@gmail.com>]

Then I guess that your collinearity doesn't arise only from the first step
but also from the next steps of the -ivregress-. 
-ivregress- uses three tests for collinearity, one after the other, before
the estimation. What you can do is to replicate these tests by hand and save
the non-collinear variables of every step so you can use them later. See
below :

_rmdcoll ENDOGENOUS INCLUDED-EXOGENOUS, forcedrop  (you may want to add
noconstant also)    //checks for collinearity between endogenous vars and
included exogenous//

global first `r(varlist)'    //This global contains the set of non-collinear
INCLUDED-EXOGENOUS vars//

_rmcoll dummy1-dummy500     //checks for collinearity among instruments//

global inst_first `r(varlist)'    //this global contains the dummies that
are not collinear between themselves//

_rmcoll2list, alist($first) blist($inst_first)   //checks for collinearity
among the endogenous and all exogenous vars and further drops instruments
until a linearly independent set is obtained //

global inst `r(blist)'  //this global contains the final set of
non-collinear instruments// 

I guess all you need from this point on are the globals $inst and $first


Hope this helps,
_____________ - _______________

Achilleas Vassilopoulos

Agricultural University of Athens,
Dept. of Agricultural Economics and Rural Development, Lab. of Political
Economy and European Integration.
Iera Odos 75, 11855, Athens, Greece

Tel: (+30) 210-5294726
Fax: (+30) 210-5294786
email : avassilopoulos.aua@gmail.com  



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of richard boylan
Sent: 09 September, 2010 17:12
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: condivreg/Multicollinearity

That does not work, I still get the same error message after "condivreg."

ivreg eliminates many more dummy variable than only estimating the first
stage with reg.

So, ideally, I would want to follow the same procedure you described using
ivreg if I knew how to access the first stage coefficients.






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