topic Re: getting VIFs for heckman? in SAS Forecasting and Econometrics

getting VIFs for heckman?

Spentike — Mon, 15 Jun 2020 20:49:08 GMT

I am running a two stage model using the following code. I'd like to check VIFs on the second stage of the model, but when I put in the command for VIFs, the model won't run. How do I get collinearity diagnostics for the model?

PROC QLIM DATA=XYZ heckit;

MODEL Firststage = Gini20162018 IC Days LogAge Economic LGPCGDP

/ discrete ;

output out=probitresults marginal mills prob xbeta;

MODEL DV = Gini20162018 IC Days Economic LGPCGDP
/ select(Firststage=1) ;

RUN;

Re: getting VIFs for heckman?

Ksharp — Tue, 16 Jun 2020 11:49:30 GMT

PROC QLIM is under SAS/ETS , Better post it at Forecasting Forum .

Re: getting VIFs for heckman?

SteveDenham — Mon, 22 Jun 2020 15:23:29 GMT

Since collinearity is a problem in the predictor variables (you don't need to know what the dependent variable is, mostly), a work around would be to use your second MODEL statement in PROC REG, with the VIF and COLLIN options in the MODEL statement.

SteveDenham