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;
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
Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.
If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website.
Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.