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IVVIF: Stata module to report variance inflation factors after IV

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Author Info

  • David Roodman

    ()
    (Center for Global Development)

Abstract

ivvif extends Stata's official vif/estat vif command, which reports variance inflation factors. It differs in two ways. As well as working after regress, it can run after instrumented regressions done with ivreg or ivreg2. In this case, it projects regressors onto instruments before computing VIFs. In other words, it reports the VIFs for the second stage of two-stage least squares. The other difference is that it makes the results available in a return matrix, named "vif", along with vif's return macros, which can ease working with the results in Stata code.

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File URL: http://fmwww.bc.edu/repec/bocode/i/ivvif.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/i/ivvif.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456301.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 06 Oct 2005
Date of revision: 30 Mar 2014
Handle: RePEc:boc:bocode:s456301

Note: This module should be installed from within Stata by typing "ssc install ivvif". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

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Web: http://repec.org/docs/ssc.php

Related research

Keywords: variance inflation factor; collinearity; instrumental variables;

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