Can anybody suggest a particular command code or procedure which I can use to estimate Variance Inflation Factors for several linear regression models that I have estimated?
Many thanks,
Petros
Procedure for Estimation of Variance Inflation Factors
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Petros
- Posts: 12
- Joined: Mon Aug 25, 2014 2:20 am
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TomDoan
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Re: Procedure for Estimation of Variance Inflation Factors
See
https://estima.com/textbooks/greene_7/grnp090.rpf
With version 9, you can use Help-Find in Files and look for "Variance Inflation" to find this.
https://estima.com/textbooks/greene_7/grnp090.rpf
With version 9, you can use Help-Find in Files and look for "Variance Inflation" to find this.
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Petros
- Posts: 12
- Joined: Mon Aug 25, 2014 2:20 am
Re: Procedure for Estimation of Variance Inflation Factors
Tom thank you for this. I had seen this before but it does not seem to be a generic code that I can apply to any regression. I am surprised that RATS does not have a simpler code for detecting multi-colinearity in a simple linear regression model.
Many thanks,
Petros
Many thanks,
Petros
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: Procedure for Estimation of Variance Inflation Factors
"Multicollinearity" was a serious problem about 40 years ago when most statistical software worked in single precision. It faded as an issue with double precision floating point calculations and improved inversion/factoring algorithms. Newer textbooks generally don't even mention "near" collinearity---only exact collinearity (such as the dummy variable trap). Big sections on multicollinearity usually only exist in textbooks which were originally written in the 1970's and 1980's.