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Re: st: regression factor variables and multicollinearity
From
Maarten Buis <[email protected]>
To
[email protected]
Subject
Re: st: regression factor variables and multicollinearity
Date
Fri, 14 Feb 2014 11:11:57 +0100
If you create the interactions using factor variables, then Stata
knows that it needs to omit a refernce category for each categorical
variable and it has a fixed rule for doing so: by default it omits the
category with the smallest numerical value, but you can change that.
If you create the variables yourself, it just sees that a set of
variables and it has no a priori knowledge that it might need to omit
one for a reference category. Only after it starts working with those
variables it finds that there is a problem with perfect
multicolinearity. It than knows which set of variables belong together
in the sense that they cause perfect multicolinearity, but it cannot
have such a standard rule of which to omit as with the factor
variables. So I would not expect the two methods to result in the same
reference category.
Hope this helps,
Maarten
On Thu, Feb 13, 2014 at 8:27 PM, simone pedemonte
<[email protected]> wrote:
> Dear all,
>
> I am running a linear regression on three dummy variables, one
> categorical variable, plus all their interactions.
>
> I understand the basic stata command to do this should be:
>
> reg y d1##d2##d3##x
>
> where x has six categories.
>
> I tried to create the variables myself to double check, so I generated
> variables for the full set of interactions, and I ran the same
> regression (omitting one the same categories in both regressions).
>
> I can't understand why the two regressions give me exactly the same
> results (coefficients, std errors, etc.) except for the fact that
> different coefficients are omitted by stata because of collinerarity.
> Does anyone know why that could happen?
>
> Thank you,
>
> Simone Pedemonte
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--
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany
http://www.maartenbuis.nl
---------------------------------
*
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* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/