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| From | Aggie Chidlow <mojamalarybka@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: collin |
| Date | Sat, 12 Mar 2011 15:45:17 +0000 |
Dear Eric,
Thank you for your advice... will definetly look this reference up.
When I run my model with all dummies as the reviewer wants me to:
probit y x1 x2 x3 lnx4 x5 y98 y99 y00 y01 y02
where:
y98=463
y99=494
y00=425
y01=406
y02=376
y03=88 -not included in the model due to dummies trap
I get the regression results that say the follwing:
note: y00 omitted because of collinearity
note: y01 omitted because of collinearity
note: y02 omitted because of collinearity
The coefficients for y00 y01 and y02 are not reported in the model and
there is a note which says y00 (omitted); y01 (omitted) and y02
(omitted).
By the way the collin for year dummies is as follow:
Collinearity Diagnostics
SQRT R-
Variable VIF VIF Tolerance Squared
----------------------------------------------------
y98 -3.37e+13 . -0.0000 1.0000
y99 -3.53e+13 . -0.0000 1.0000
y00 -3.16e+13 . -0.0000 1.0000
y01 -3.05e+13 . -0.0000 1.0000
y02 -2.87e+13 . -0.0000 1.0000
y03 -7.74e+12 . -0.0000 1.0000
----------------------------------------------------
Mean VIF -2.79e+13
Cond
Eigenval Index
---------------------------------
1 2.0000 1.0000
2 1.0000 1.4142
3 1.0000 1.4142
4 1.0000 1.4142
5 1.0000 1.4142
6 1.0000 1.4142
7 0.0000 .
---------------------------------
Condition Number .
Eigenvalues & Cond Index computed from scaled raw sscp (w/ intercept)
Det(correlation matrix) -0.0000
I would appreciate any suggestions.
Many thanks in advance.
.
On Sat, Mar 12, 2011 at 11:16 AM, DE SOUZA Eric
<eric.de_souza@coleurope.eu> wrote:
> I haven't been following this thread till now.
> Jeffrey Wooldridge in his introductory textbook (page 99, international edition) does not encourage use of the VIF . The variance of a coefficient depends on three factors: the standard error of the regression, the total sample variation in the variable attached to the coefficient and the partial R2 . Concentrating on the partial R2 has no justification, even less so the rule of 10.
>
> However, in this case, the referee will probably have to be satisfied in some way or the other.
>
> Aggie, when you say that the dummies were dropped on account of collinearity, what exactly do you mean?
>
> Eric
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Syed Basher
> Sent: 12 March 2011 11:57
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: collin
>
> Dear Aggie,
>
> I recently used VIF in one of my papers. You can find the discussion here:
> http://ideas.repec.org/p/pra/mprapa/27348.html
> -- See p. 14 (footnote 23) and p. 22
>
> A general rule of thumb in economics is a VIF>10 indicates harmful collinearity.
> Hope you find this useful.
>
> Syed Basher
> Doha, Qatar.
>
>
>
>
> ----- Original Message ----
> From: Aggie Chidlow <mojamalarybka@googlemail.com>
> To: statalist@hsphsun2.harvard.edu
> Sent: Sat, March 12, 2011 1:36:26 AM
> Subject: Re: st: collin
>
> Dear Charls and Syed,
> Thank you very much for your comments and suggestions.
>
> I would be thankful very much for your help Syed regarding how to interpret VIF professionaly. Any advice/references would be very much appreciated.
>
> Many thanks,Aggie
>
> On Thu, Mar 10, 2011 at 3:14 PM, Syed Basher <syed.basher@yahoo.com> wrote:
>> Hi Aggie,
>>
>> I think diagnostic checking such as VIF comes before estimation, that
>> is we first check the extent of collinearity among variables using VIF
>> then decide which variables to include in the estimation. After
>> running VIF, you can do
> two
>> sets of estimation: one with all dummies (what the reviewer asked for)
>> and another with least collinear dummies (as you already did), this
>> way the difference between two results will show up. As Charles
>> mentioned, it is
> better
>> to follow what the reviewer has asked for. If you wanted to know how
>> to interpret VIF results professionally, let me know.
>>
>> Syed Basher
>> Doha, Qatar
>>
>>
>>
>> ----- Original Message ----
>> From: Aggie Chidlow <mojamalarybka@googlemail.com>
>> To: statalist@hsphsun2.harvard.edu
>> Sent: Thu, March 10, 2011 4:30:51 PM
>> Subject: st: collin
>>
>> Dear Stata users,
>>
>> I was appreciate some help regarding "collin"
>>
>> I just got a paper back from a reviewer and he/she wants me to include
>> all my year dummies (i.e. y98 y99 y00 y01 y02 y03) in the following
>> model: probit y x1 x2 x3 lnx4 x5 y98 y99 y00 y01 y02
>>
>> Previusly in the model I only included two year dummies (i.e y99 and
>> y01) as the others we omitted automatically due to collinearity.
>> I mentioned that in the paper, however, he/she says it is
>> unsatisfactory and I should include them all and than comment on VIF.
>>
>> Please, can somebody tell me how I can go about this?
>> Any advise and/or references will be more than appreciated.
>>
>> Many thanks in advance.
>> Aggie
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