-------------------------------------------------------------------------------
help: fgtest                                                        dialog: fgt
> est
-------------------------------------------------------------------------------

        +-------+
    ----+ Title +------------------------------------------------------------

 fgtest: Farrar-Glauber Multicollinearity Tests"

        +-------------------+
    ----+ Table of Contents +------------------------------------------------

     Syntax
     Options
     Description
     Saved Results
     References

 *** Examples

     Author

        +--------+
    ----+ Syntax +-----------------------------------------------------------

    fgtest depvar indepvars [if] [in] [weight] , [ noconstant ]
 

        +---------+
    ----+ Options +----------------------------------------------------------

    options Description
    -------------------------------------------------------------------------

      noconstant
              suppress constant term

        +-------------+
    ----+ Description +------------------------------------------------------

  fgtest computes Farrar-Glauber Multicollinearity tests
          * Farrar-Glauber Multicollinearity Chi2-Test
          * Farrar-Glauber Multicollinearity F-Test
          * Farrar-Glauber Multicollinearity t-Test

  more details can be found in Mitsaki(2011)

        +---------------+
    ----+ Saved Results +----------------------------------------------------

    fgtest saves the following in e():

scalars:
   e(fgchi)        Farrar-Glauber Multicollinearity Chi2-Test

matrixes:
   e(fgf)          Farrar-Glauber Multicollinearity F-Test
   e(fgt)          Farrar-Glauber Multicollinearity t-Test

        +------------+
    ----+ References +-------------------------------------------------------

    Evagelia, Mitsaki (2011) "Ridge Regression Analysis of Collinear Data", 
        http://www.stat-athens.aueb.gr/~jpan/diatrives/Mitsaki/chapter2.pdf

    Farrar, D. and Glauber, R. (1976) "Multicollinearity in Regression
        Analysis: the Problem Revisited", Review of Economics and Statistics,
        49; 92-107.

        +----------+
    ----+ Examples +---------------------------------------------------------

  Example of Farrar-Glauber Multicollinearity Chi2, F, t Tests
      is decribed in:[Evagelia(2011, chap.2, p.23)].

        clear all

        sysuse fgtest.dta, clear

        fgtest y x1 x2 x3 x4 x5 x6


. fgtest y x1 x2 x3 x4 x5 x6

======================================================================
* Farrar-Glauber Multicollinearity Tests
======================================================================
  Ho: No Multicollinearity - Ha: Multicollinearity

* (1) Farrar-Glauber Multicollinearity Chi2-Test:
    Chi2 Test =  218.5559    P-Value > Chi2(15) 0.0000

* (2) Farrar-Glauber Multicollinearity F-Test:
+--------------------------------------------------------+
|   Variable |   F_Test |      DF1 |      DF2 |  P_Value |
|------------+----------+----------+----------+----------|
|         x1 |  269.064 |   10.000 |    5.000 |    0.000 |
|         x2 | 3574.850 |   10.000 |    5.000 |    0.000 |
|         x3 |   65.238 |   10.000 |    5.000 |    0.000 |
|         x4 |    5.178 |   10.000 |    5.000 |    0.042 |
|         x5 |  796.307 |   10.000 |    5.000 |    0.000 |
|         x6 | 1515.957 |   10.000 |    5.000 |    0.000 |
+--------------------------------------------------------+

* (3) Farrar-Glauber Multicollinearity t-Test:
+----------------------------------------------------------------+
| Variable |     x1 |     x2 |     x3 |     x4 |     x5 |     x6 |
|----------+--------+--------+--------+--------+--------+--------|
|       x1 |      . |        |        |        |        |        |
|       x2 | 24.228 |      . |        |        |        |        |
|       x3 |  2.503 |  2.398 |      . |        |        |        |
|       x4 |  1.660 |  1.578 | -0.570 |      . |        |        |
|       x5 | 15.248 | 23.530 |  2.986 |  1.237 |      . |        |
|       x6 | 23.610 | 32.409 |  2.841 |  1.452 | 28.624 |      . |
+----------------------------------------------------------------+

        +--------+
    ----+ Author +-----------------------------------------------------------

  Emad Abd Elmessih Shehata
  Assistant Professor
  Agricultural Research Center - Agricultural Economics Research Institute - Eg
> ypt
  Email:   emadstat@hotmail.com
  WebPage:                http://emadstat.110mb.com/stata.htm
  WebPage at IDEAS:       http://ideas.repec.org/f/psh494.html
  WebPage at EconPapers:  http://econpapers.repec.org/RAS/psh494.htm

        +-----------------+
    ----+ fgtest Citation +--------------------------------------------------

    Shehata, Emad Abd Elmessih (2012)
    FGTEST: "Stata Module to Compute Farrar-Glauber Multicollinearity Chi2,
        F, t Tests"

Also see

    Online: fgtest, ridgereg, (if installed).