Stata FAQ
How can I check for collinearity in survey regression?

Collinearity is a property of predictor variables and in OLS regression can easily be checked using the estat vif command after regress or by the user-written command, collin. The situation is a little bit trickier when using survey data. We will illustrate this situation using the hsb2 dataset pretending that the variable math is the sampling weight (pweight) and that the sample is stratified on ses. Let's begin by running a survey regression with socst regressed on read, write and the interaction of read and write. We will create the interaction term, rw, by multiplying read and write together. Since rw is the product of two other predictors, it should create a situation with a high degree of collinearity.

use http://www.ats.ucla.edu/stat/stata/notes/hsb2, clear

generate rw = read*write  /* create interaction of read and write */

svyset [pw=math], strata(ses)

            pweight: math
          VCE: linearized
  Single unit: missing
     Strata 1: ses
         SU 1: 
        FPC 1: 

svy: regress socst read write rw
(running regress on estimation sample)

Survey: Linear regression

Number of strata   =         3                  Number of obs      =       200
Number of PSUs     =       200                  Population size    =     10529
                                                Design df          =       197
                                                F(   3,    195)    =     72.93
                                                Prob > F           =    0.0000
                                                R-squared          =    0.4816

------------------------------------------------------------------------------
             |             Linearized
       socst |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        read |   .3061248   .3225945     0.95   0.344     -.330057    .9423066
       write |   .2870839   .3037079     0.95   0.346    -.3118521    .8860198
          rw |   .0023047   .0057398     0.40   0.688    -.0090146     .013624
       _cons |   14.87601   16.18965     0.92   0.359    -17.05125    46.80327
------------------------------------------------------------------------------
Now, how can we tell if there is high collinearity among the three predictors? To answer this we will run three survey regressions using read, write and rw as the response variables. After each regression we will manually compute the tolerance using the formula 1-R2 and the variance inflation factor (VIF) by 1/tolerance.
svy: regress read write rw

(running regress on estimation sample)

Survey: Linear regression

Number of strata   =         3                  Number of obs      =       200
Number of PSUs     =       200                  Population size    =     10529
                                                Design df          =       197
                                                F(   2,    196)    =   2609.52
                                                Prob > F           =    0.0000
                                                R-squared          =    0.9783

------------------------------------------------------------------------------
             |             Linearized
        read |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       write |  -.8465658   .0264581   -32.00   0.000    -.8987433   -.7943884
          rw |    .017455   .0002706    64.49   0.000     .0169213    .0179888
       _cons |   47.79902   .9873955    48.41   0.000      45.8518    49.74624
------------------------------------------------------------------------------

display "tolerance = " 1-e(r2) " VIF = " 1/(1-e(r2))

tolerance = .02165204 VIF = 46.185024

svy: regress write read rw
(running regress on estimation sample)

Survey: Linear regression

Number of strata   =         3                  Number of obs      =       200
Number of PSUs     =       200                  Population size    =     10529
                                                Design df          =       197
                                                F(   2,    196)    =   1811.99
                                                Prob > F           =    0.0000
                                                R-squared          =    0.9678

------------------------------------------------------------------------------
             |             Linearized
       write |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        read |  -1.029195   .0304864   -33.76   0.000    -1.089316   -.9690733
          rw |    .019082   .0003452    55.28   0.000     .0184013    .0197628
       _cons |   52.84414    .957194    55.21   0.000     50.95648     54.7318
------------------------------------------------------------------------------

display "tolerance = " 1-e(r2) " VIF = " 1/(1-e(r2))

tolerance = .03216943 VIF = 31.085416

svy: regress rw write read
(running regress on estimation sample)

Survey: Linear regression

Number of strata   =         3                  Number of obs      =       200
Number of PSUs     =       200                  Population size    =     10529
                                                Design df          =       197
                                                F(   2,    196)    =   5258.91
                                                Prob > F           =    0.0000
                                                R-squared          =    0.9916

------------------------------------------------------------------------------
             |             Linearized
          rw |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       write |   49.77855    .948907    52.46   0.000     47.90723    51.64987
        read |    55.3573   .9117403    60.72   0.000     53.55928    57.15533
       _cons |  -2703.949   55.95981   -48.32   0.000    -2814.306   -2593.591
------------------------------------------------------------------------------

display "tolerance = " 1-e(r2) " VIF = " 1/(1-e(r2))

tolerance = .00843133 VIF = 118.60521
Note that we used each of the predictor variables, in turn, as the response variable for a survey regression. VIF values greater than 10 may warrant further examination.  In this example, all of the VIFs were problematic but the variable rw stands out with a VIF of 118.61. The high collinearity of the interaction term is not unexpected and probably is not going to cause a problem for our analysis. This same approach can be used with survey logit (i.e., svy: logit) or any of the survey estimation procedures.  To do this, replace the logit command with the regress command and then proceed as shown above.  Running the regress command with a binary outcome variable will not be problem because collinearity is a property of the predictors, not of the model.

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