COLDIAG: Stata module to perform BWK regression collinearity diagnostics

Joseph Harkness ()
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Joseph Harkness: Institute for Policy Studies, The Johns Hopkins University

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 6.0
Keywords: collinearity; regression; conditioning; variance decomposition (search for similar items in EconPapers)
Date: 2000-02-18, Revised 2000-07-06
Note: This module may be installed from within Stata by typing "ssc install coldiag". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/coldiag.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/coldiag.hlp help file (text/plain)

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