Hello everyone,
I hope you are doing well.
Statement of the problem:
-I have long panel (6 groups near 100 months) with heteroskedasticity and serial correlation.
-I have used xtpcse and xtgls commands to check my hypotheses.
-There are 2 interaction terms of variables in model + age and age^2 variables in the model (in fact 3 interaction terms).
-VIF,unc command shows high values (>10) in model.
Question:
1.In this case shall I consider the VIF values in the model with interaction terms and remove variables with high VIF values from model?
2. Or just I should consider the VIF of model without interaction terms?
Thank you in advance.
Best Regards,
Michael
I hope you are doing well.
Statement of the problem:
-I have long panel (6 groups near 100 months) with heteroskedasticity and serial correlation.
-I have used xtpcse and xtgls commands to check my hypotheses.
-There are 2 interaction terms of variables in model + age and age^2 variables in the model (in fact 3 interaction terms).
-VIF,unc command shows high values (>10) in model.
Question:
1.In this case shall I consider the VIF values in the model with interaction terms and remove variables with high VIF values from model?
2. Or just I should consider the VIF of model without interaction terms?
Thank you in advance.
Best Regards,
Michael
Comment