English, Article edition: COLDIAG: Stata module to perform BWK regression collinearity diagnostics Joseph Harkness

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Bookmark: http://trove.nla.gov.au/version/103105
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  • code
Language
  • English

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Title
  • COLDIAG: Stata module to perform BWK regression collinearity diagnostics
Author
  • Joseph Harkness
Physical Description
  • code
Notes
  • Coldiag is an implementation of the regression collinearity diagnostic procedures found in Belsley, Kuh, and Welsch (1980). These procedures examine the "conditioning" of the matrix of independent variables. Coldiag first computes the condition number of the matrix. If this number is "large" (Belsley et al suggest 30 or higher), then there may be collinearity problems. Coldiag with the FULL option also provides further information that may help to identify the source of these problems the variance decomposition portions associated with each singular value. If a large singular value is associated two or more variables with "large" variance decomposition portions, these variables may be causing collinearity problems.
  • collinearity, regression, conditioning, variance decomposition
  • RePEc:boc:bocode:s405001
Language
  • English
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