-------------------------------------------------------------------------------
log: :Keewaydin:Rumelihisari:Stata:coldiag.smcl
log type: smcl
opened on: 21 Feb 2001, 08:50:52
. * makes use of hacked version of Joe Harkness' coldiag that works from
. * regressorlist, available on fmrisc
. clear
. set matsize 800
. use ":Keewaydin:Rumelihisari:Stata:auto.dta"
(1978 Automobile Data)
. gen pr=price/1000
. regress pr displ mpg
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 2, 71) = 13.35
Model | 173.587101 2 86.7935503 Prob > F = 0.0000
Residual | 461.478281 71 6.4996941 R-squared = 0.2733
-------------+------------------------------ Adj R-squared = 0.2529
Total | 635.065382 73 8.69952578 Root MSE = 2.5494
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
displacement | .0105088 .0045855 2.29 0.025 .0013657 .019652
mpg | -.1211832 .0727884 -1.66 0.100 -.2663193 .0239528
_cons | 6.672765 2.29972 2.90 0.005 2.087254 11.25828
------------------------------------------------------------------------------
. gen e = 100*invnorm(uniform())
. gen mpga=mpg+e
. corr mpg mpga
(obs=74)
| mpg mpga
-------------+------------------
mpg | 1.0000
mpga | -0.0311 1.0000
.
. regress pr displ mpg mpga
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 3, 70) = 8.78
Model | 173.701057 3 57.9003525 Prob > F = 0.0000
Residual | 461.364324 70 6.59091892 R-squared = 0.2735
-------------+------------------------------ Adj R-squared = 0.2424
Total | 635.065382 73 8.69952578 Root MSE = 2.5673
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
displacement | .0105185 .0046181 2.28 0.026 .0013079 .0197291
mpg | -.1212874 .0733017 -1.65 0.102 -.2674831 .0249083
mpga | -.0004207 .0031998 -0.13 0.896 -.0068025 .005961
_cons | 6.679027 2.316292 2.88 0.005 2.059328 11.29873
------------------------------------------------------------------------------
. vif
Variable | VIF 1/VIF
-------------+----------------------
displacement | 1.99 0.501941
mpg | 1.99 0.502010
mpga | 1.00 0.998780
-------------+----------------------
Mean VIF | 1.66
. lincom mpg+mpga
( 1) mpg + mpga = 0.0
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.1217081 .0734061 -1.66 0.102 -.2681119 .0246957
------------------------------------------------------------------------------
. coldiag2,f
Condition number = 3.03
Condition indices and variance decomposition proportions
CI displacement mpg mpga
r1 1.000 0.092 0.092 0.029
r2 3.030 0.899 0.897 0.001
r3 1.390 0.009 0.011 0.971
. gen mpgb=mpg+e/10
. corr mpg mpgb
(obs=74)
| mpg mpgb
-------------+------------------
mpg | 1.0000
mpgb | 0.4637 1.0000
. regress pr displ mpg mpgb
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 3, 70) = 8.78
Model | 173.701057 3 57.9003525 Prob > F = 0.0000
Residual | 461.364324 70 6.59091892 R-squared = 0.2735
-------------+------------------------------ Adj R-squared = 0.2424
Total | 635.065382 73 8.69952578 Root MSE = 2.5673
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
displacement | .0105185 .0046181 2.28 0.026 .0013079 .0197291
mpg | -.1175007 .0784657 -1.50 0.139 -.2739956 .0389942
mpgb | -.0042074 .0319979 -0.13 0.896 -.0680252 .0596103
_cons | 6.679027 2.316292 2.88 0.005 2.059328 11.29873
------------------------------------------------------------------------------
. vif
Variable | VIF 1/VIF
-------------+----------------------
mpg | 2.28 0.438108
displacement | 1.99 0.501941
mpgb | 1.27 0.784819
-------------+----------------------
Mean VIF | 1.85
. lincom mpg+mpgb
( 1) mpg + mpgb = 0.0
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.1217081 .0734061 -1.66 0.102 -.2681119 .0246957
------------------------------------------------------------------------------
. coldiag2,f
Condition number = 5.73
Condition indices and variance decomposition proportions
CI displacement mpg mpgb
r1 1.000 0.042 0.018 0.021
r2 3.090 0.877 0.037 0.146
r3 5.730 0.082 0.945 0.833
. gen mpgc=mpg+e/100
. corr mpg mpgc
(obs=74)
| mpg mpgc
-------------+------------------
mpg | 1.0000
mpgc | 0.9867 1.0000
. regress pr displ mpg mpgc
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 3, 70) = 8.78
Model | 173.701057 3 57.9003524 Prob > F = 0.0000
Residual | 461.364325 70 6.59091892 R-squared = 0.2735
-------------+------------------------------ Adj R-squared = 0.2424
Total | 635.065382 73 8.69952578 Root MSE = 2.5673
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
displacement | .0105185 .0046181 2.28 0.026 .0013079 .0197291
mpg | -.0796337 .324377 -0.25 0.807 -.7265832 .5673158
mpgc | -.0420744 .3199789 -0.13 0.896 -.6802521 .5961033
_cons | 6.679027 2.316292 2.88 0.005 2.059328 11.29873
------------------------------------------------------------------------------
. vif
Variable | VIF 1/VIF
-------------+----------------------
mpg | 39.01 0.025635
mpgc | 37.82 0.026438
displacement | 1.99 0.501941
-------------+----------------------
Mean VIF | 26.27
. lincom mpg+mpgc
( 1) mpg + mpgc = 0.0
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.1217081 .0734061 -1.66 0.102 -.2681119 .0246957
------------------------------------------------------------------------------
. coldiag2,f
Condition number = 55.04
Condition indices and variance decomposition proportions
CI displacement mpg mpgc
r1 1.000 0.039 0.000 0.000
r2 3.220 0.959 0.001 0.001
r3 55.040 0.002 0.999 0.999
. gen mpgd=mpg+e/1000
. corr mpg mpgd
(obs=74)
| mpg mpgd
-------------+------------------
mpg | 1.0000
mpgd | 0.9999 1.0000
. regress pr displ mpg mpgd
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 3, 70) = 8.78
Model | 173.701058 3 57.9003528 Prob > F = 0.0000
Residual | 461.364323 70 6.5909189 R-squared = 0.2735
-------------+------------------------------ Adj R-squared = 0.2424
Total | 635.065382 73 8.69952578 Root MSE = 2.5673
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
displacement | .0105185 .0046181 2.28 0.026 .0013079 .0197291
mpg | .2990384 3.196639 0.09 0.926 -6.076457 6.674534
mpgd | -.4207465 3.19979 -0.13 0.896 -6.802527 5.961033
_cons | 6.679027 2.316292 2.88 0.005 2.059328 11.29873
------------------------------------------------------------------------------
. vif
Variable | VIF 1/VIF
-------------+----------------------
mpg | 3788.32 0.000264
mpgd | 3785.37 0.000264
displacement | 1.99 0.501941
-------------+----------------------
Mean VIF | 2525.23
. lincom mpg+mpgd
( 1) mpg + mpgd = 0.0
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.1217081 .0734061 -1.66 0.102 -.2681119 .0246957
------------------------------------------------------------------------------
. coldiag2,f
Condition number = 552.80
Condition indices and variance decomposition proportions
CI displacement mpg mpgd
r1 1.000 0.039 0.000 0.000
r2 3.220 0.957 0.000 0.000
r3 552.800 0.004 1.000 1.000
. gen mpge=mpg+e/10000
. corr mpg mpge
(obs=74)
| mpg mpge
-------------+------------------
mpg | 1.0000
mpge | 1.0000 1.0000
. regress pr displ mpg mpge
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 3, 70) = 8.78
Model | 173.70096 3 57.9003201 Prob > F = 0.0000
Residual | 461.364421 70 6.59092031 R-squared = 0.2735
-------------+------------------------------ Adj R-squared = 0.2424
Total | 635.065382 73 8.69952578 Root MSE = 2.5673
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
displacement | .0105185 .0046181 2.28 0.026 .0013079 .0197291
mpg | 4.083918 31.99379 0.13 0.899 -59.72568 67.89352
mpge | -4.205626 31.9977 -0.13 0.896 -68.02302 59.61177
_cons | 6.679022 2.316292 2.88 0.005 2.059324 11.29872
------------------------------------------------------------------------------
. vif
Variable | VIF 1/VIF
-------------+----------------------
mpg | 379481.34 0.000003
mpge | 379460.81 0.000003
displacement | 1.99 0.501941
-------------+----------------------
Mean VIF | 252981.38
. lincom mpg+mpge
( 1) mpg + mpge = 0.0
------------------------------------------------------------------------------
pr | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
(1) | -.1217079 .0734061 -1.66 0.102 -.2681116 .0246959
------------------------------------------------------------------------------
. coldiag2,f
Condition number = 5530.88
Condition indices and variance decomposition proportions
CI displacement mpg mpge
r1 1.000 0.039 0.000 0.000
r2 3.220 0.956 0.000 0.000
r3 5530.880 0.005 1.000 1.000
.
end of do-file
. log close
log: :Keewaydin:Rumelihisari:Stata:coldiag.smcl
log type: smcl
closed on: 21 Feb 2001, 08:51:27
-------------------------------------------------------------------------------