{smcl} {hline} {cmd:help: {helpb fgtest}}{space 55} {cmd:dialog:} {bf:{dialog fgtest}} {hline} {bf:{err:{dlgtab:Title}}} {bf: fgtest: Farrar-Glauber Multicollinearity Tests"} {marker 00}{bf:{err:{dlgtab:Table of Contents}}} {p 4 8 2} {p 5}{helpb fgtest##01:Syntax}{p_end} {p 5}{helpb fgtest##02:Options}{p_end} {p 5}{helpb fgtest##03:Description}{p_end} {p 5}{helpb fgtest##04:Saved Results}{p_end} {p 5}{helpb fgtest##05:References}{p_end} {p 1}*** {helpb fgtest##06:Examples}{p_end} {p 5}{helpb fgtest##07:Author}{p_end} {marker 01}{bf:{err:{dlgtab:Syntax}}} {p 4 8 6} {opt fgtest} {depvar} {indepvars} {ifin} {weight} , {err: [} {opt noconst:ant} {err:]}{p_end} {marker 02}{bf:{err:{dlgtab:Options}}} {p 2 6 2} {synoptset 6 tabbed}{...} {synopthdr} {synoptline} {synopt :{opt nocons:tant}}suppress constant term{p_end} {marker 03}{bf:{err:{dlgtab:Description}}} {p 2 4 2}{cmd:fgtest} computes Farrar-Glauber Multicollinearity tests{p_end} * Farrar-Glauber Multicollinearity Chi2-Test * Farrar-Glauber Multicollinearity F-Test * Farrar-Glauber Multicollinearity t-Test {p 2 4 2} more details can be found in Mitsaki(2011) {marker 04}{bf:{err:{dlgtab:Saved Results}}} {pstd} {cmd:fgtest} saves the following in {cmd:e()}: scalars: {col 4}{cmd:e(fgchi)}{col 20}Farrar-Glauber Multicollinearity Chi2-Test matrixes: {col 4}{cmd:e(fgf)}{col 20}Farrar-Glauber Multicollinearity F-Test {col 4}{cmd:e(fgt)}{col 20}Farrar-Glauber Multicollinearity t-Test {marker 05}{bf:{err:{dlgtab:References}}} {p 4 8 2}Evagelia, Mitsaki (2011) {cmd: "Ridge Regression Analysis of Collinear Data",} {browse "http://www.stat-athens.aueb.gr/~jpan/diatrives/Mitsaki/chapter2.pdf"} {p 4 8 2}Farrar, D. and Glauber, R. (1976) {cmd: "Multicollinearity in Regression Analysis: the Problem Revisited",} {it:Review of Economics and Statistics, 49}; 92-107. {marker 06}{bf:{err:{dlgtab:Examples}}} {p 2 4 4} Example of Farrar-Glauber Multicollinearity Chi2, F, t Tests{p_end} {p 6 6 2}is decribed in:[Evagelia(2011, chap.2, p.23)].{p_end} {stata clear all} {stata sysuse fgtest.dta, clear} {stata 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 | . | +----------------------------------------------------------------+ {marker 07}{bf:{err:{dlgtab:Author}}} {hi:Emad Abd Elmessih Shehata} {hi:Assistant Professor} {hi:Agricultural Research Center - Agricultural Economics Research Institute - Egypt} {hi:Email: {browse "mailto:emadstat@hotmail.com":emadstat@hotmail.com}} {hi:WebPage:{col 27}{browse "http://emadstat.110mb.com/stata.htm"}} {hi:WebPage at IDEAS:{col 27}{browse "http://ideas.repec.org/f/psh494.html"}} {hi:WebPage at EconPapers:{col 27}{browse "http://econpapers.repec.org/RAS/psh494.htm"}} {bf:{err:{dlgtab:fgtest Citation}}} {phang}Shehata, Emad Abd Elmessih (2012){p_end} {phang}{cmd:FGTEST: "Stata Module to Compute Farrar-Glauber Multicollinearity Chi2, F, t Tests"}{p_end} {title:Also see} {p 4 12 2}Online: {helpb fgtest}, {helpb ridgereg}, (if installed).{p_end} {psee} {p_end}