Questions tagged [vif]

Variance Inflation Factor (VIF) quantifies the severity of multicollinearity in an ordinary least squares regression analysis. It provides an index that measures how much the variance (the square of the estimate's standard deviation) of an estimated regression coefficient is increased because of collinearity.

26
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3answers
29k views

Which variance inflation factor should I be using: $\text{GVIF}$ or $\text{GVIF}^{1/(2\cdot\text{df})}$?

I'm trying to interpret variance inflation factors using the vif function in the R package car. The function prints both a ...
40
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6answers
21k views

Why is multicollinearity not checked in modern statistics/machine learning

In traditional statistics, while building a model, we check for multicollinearity using methods such as estimates of the variance inflation factor (VIF), but in machine learning, we instead use ...
24
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2answers
7k views

Collinearity diagnostics problematic only when the interaction term is included

I've run a regression on U.S. counties, and am checking for collinearity in my 'independent' variables. Belsley, Kuh, and Welsch's Regression Diagnostics suggests looking at the Condition Index and ...
11
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3answers
817 views

What are the merits of different approaches to detecting collinearity?

I want to detect whether collinearity is a problem in my OLS regression. I understand that variance inflation factors and the condition index are two commonly used measures, but am finding it ...
13
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6answers
8k views

Multicollinearity when individual regressions are significant, but VIFs are low

I have 6 variables ($x_{1}...x_{6}$) that I am using to predict $y$. When performing my data analysis, I first tried a multiple linear regression. From this, only two variables were significant. ...
14
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2answers
27k views

VIF, condition Index and eigenvalues

I am currently assessing multicollinearity in my datasets. What threshold values of VIF and condition index below/above suggest a problem? VIF: I have heard that VIF $\geq 10$ is a problem. After ...
7
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1answer
3k views

What is the fastest method for determining collinearity degree?

Given a large amount of data, how would I determine the degree of collinearity between all the variables? Preferably without relying on calculating linear regression between a variable and every other ...
6
votes
3answers
7k views

Is centering a valid solution for multicollinearity?

Let's assume that $y = a + a_1x_1 + a_2x_2 + a_3x_3 + e$ where $x_1$ and $x_2$ both are indexes both range from $0-10$ where $0$ is the minimum and $10$ is the maximum. I found by applying VIF, CI and ...
1
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1answer
436 views

Testing for multicollinearity in logistic regression

So far I have checked the tolerance value, VIF and condition indexes. But checking the variance of the regression coefficients I have to wonder: how little variance of the regression coefficient ...
1
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1answer
697 views

VIF Values for Multicollinearity

I have a cross-sectional dataset which I obtained from panel data. All the variables are on macroeconomics with n=75. I want to check my variables for multicollinearity using VIF. I got the following ...
2
votes
1answer
284 views

Is multicolinearity problem ignorable under this situation?

When I run the logistic regression, two independent variables have VIF values greater than 10 like 13 or so. Logistic regression is the one I will use to measure the overall change in the dependent ...
6
votes
1answer
11k views

VIF for generalized linear model

Is the variance inflation factor useful for GLM models. Below example shows OLS is showing VIF>5, but GLM lower. GLM shows instability in the coefficients between train and test set. ...
5
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1answer
4k views

VIF calculation in regression

I want to use VIF to check the multicollinearity between some ordinal variables and continuous variables. When I put one variable as dependent and the other as independent, the regression gives one ...
2
votes
2answers
343 views

Variance Inflation Factor for Meta-Analyses

I've conducted a Meta-Regression Analysis for my Masters Thesis. However, my supervisor told me that I should check if the proposed moderating variables highly correlate. So I thought, that I can ...
8
votes
1answer
1k views

Equation for the variance inflation factors

Following a question asked earlier, the variance inflation factors (VIFs) can be expressed as $$ \textrm{VIF}_j = \frac{\textrm{Var}(\hat{b}_j)}{\sigma^2} = [\mathbf{w}_j^{\prime} \mathbf{w}_j - \...
4
votes
1answer
10k views

VIF values and interactions in multiple regression

I am running a multiple regression of the form y~a+b+c+ab+ac+bc I have checked the VIF values for the direct effects - should I check them for the interactions? I am assuming not as that would ...
4
votes
2answers
555 views

Multicollinearity Using VIF and Condition Indeces

I am testing my dataset for multicollinearity using VIF and condition indices(CI).My dataset is cross-sectional macroeconomics data. I have 6 independent variables ($x_1$,$x_2$,$x_3$,$x_4$,$x_5$,$x_6$)...
2
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1answer
5k views

How to solve collinearity problems in OLS regression?

Please see the model below (link to bigger image). The independent variables are properties of 2500 companies from 32 countries, trying to explain companies' CSR (corporate social responsibility) ...
1
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1answer
419 views

colinearity between variables

I am running a multiple regression of Y~a+b+c+d etc... I want to do a quick check to see whether my different explanatory variables are colinear (they're a mix of categorical and continuous). ...