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Augmented version of vif/estat ivvif to report variance inflation factors.

    ivvif accepts no arguments. It can run after regress, ivreg, and ivreg2.

Description

    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.

Examples

    . ivreg n (w = k)
    . ivvif

    . reg n w k
    . ivvif
    . mat list r(vif)

Author

    David Roodman
    Center for Global Development
    Washington, DC
    droodman@cgdev.org

Also see