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IVVIF: Stata module to report variance inflation factors after IV

Author

Listed:
  • 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.

Suggested Citation

  • David Roodman, 2005. "IVVIF: Stata module to report variance inflation factors after IV," Statistical Software Components S456301, Boston College Department of Economics, revised 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/i/ivvif.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/i/ivvif.hlp
    File Function: help file
    Download Restriction: no

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