help: fgtest dialog:

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

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 - Egypt
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).