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st: RE: vif after newey2
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: vif after newey2
Date
Fri, 1 Oct 2010 17:33:46 +0100
Leandro,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Leandro Brufman
> Sent: Friday, October 01, 2010 5:11 PM
> To: [email protected]
> Subject: st: vif after newey2
>
> Hi everyone,
> I'm using Stata 10.1
> I would like to analyze possible problems of multicollinearity among
> the regressors X of the following regression:
> ** newey2 y x1 x2 x3, lag(#) force
> I was about to use ** estat vif **, but it returns
>
> . estat vif
> invalid subcommand vif
> r(321);
>
> I guess that estat vif is a postestimation command for regress but not
> for newey2. Any ideas on how to perfor this task?
The version of David Roodman's newey2 on my machine is accompanied by a
neweyvif command. Just
neweyvif
after your estimation should give you what you want.
--Mark
> I was running **
> estat vce, corr ** to analyze correlation among regresors, but that's
> not the same as having the Variance Inflation Factor.
>
> Many thanks in advance!
> L.
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