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IVVIF: Stata module to report variance inflation factors after IV

David Roodman ()

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 7.0
Keywords: variance inflation factor; collinearity; instrumental variables (search for similar items in EconPapers)
Date: 2005-10-06, Revised 2014-03-30
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.
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