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
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.
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