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From | richard boylan <richardtb25@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: condivreg/Multicollinearity |
Date | Sun, 12 Sep 2010 18:21:31 -0500 |
Thanks. This seems like it would work although I still haven't tested it since STATA 10 does not have the option "forcedrop" for _rmdcoll. I am trying to work around it. On Fri, Sep 10, 2010 at 2:52 AM, Vassilopoulos Achilleas <vassilopoulos.statalist@gmail.com> wrote: > > 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. > > > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/