help: theilr2 dialog:

Title

theilr2: Theil R2 Multicollinearity Effect"

Table of Contents

Syntax

Options

Description

Saved Results

References

*** Examples

Author

Syntax

theilr2 depvar indepvars [if] [in] [weight] , [ noconstant ]

Options

noconstant suppress constant term

Description

theilr2 computes Theil R2 Multicollinearity Effect, and Determinant of |X'X|

more details in: [Theil(1971, p.179)], [Judge, et al(1988, p.870-872)]

Saved Results

theilr2 saves the following in e():

e(r2t) Theil R2 Multicollinearity Effect
e(dcor) Determinant of |X'X|

References

Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988)
"Introduction To The Theory And Practice Of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA; 870-872.

Theil, Henri (1971)
"Principles of Econometrics",
John Wiley & Sons, Inc., New York, USA.

Examples

(1) Example of Theil R2 Multicollinearity Effect in: [Judge, et al(1988, p.872)], for Klein-Goldberger data.

clear all

sysuse theilr2.dta, clear

theilr2 y x1 x2 x3

. theilr2 y x1 x2 x3
-----------------------------------------------------------------
* Theil R2 Multicollinearity Effect
R2 = 0 No Multicollinearity - R2 = 1 Multicollinearity

- Theil R2: (0 < 0.8412 < 1)
-----------------------------------------------------------------

* Determinant of |X'X|:
|X'X| = 1 No Multicollinearity - |X'X| = 0 Multicollinearity

Determinant of |X'X|: (0 < 0.0779 < 1)
-----------------------------------------------------------------

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

theilr2 Citation

Shehata, Emad Abd Elmessih (2012)

THEILR2: "Stata Module to Compute Theil R2 Multicollinearity Effect"

Also see

Online: theilr2, ridgereg, (if installed).