Dear all,
How can I test for collinearity in the predictor data set
for multiple linear regression.
Thanks
Alex
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I suggest you start by doing some reading about Condition index (CI) and variation inflation factor (VIF). Once you have reviewed the theory, a search of search.r-project.org (under the help menu in a windows-based R installation) for VIF will help you obtain values for VIF, c.f. http://finzi.psych.upenn.edu/R/library/HH/html/vif.html John John David Sorkin M.D., Ph.D. Chief, Biostatistics and Informatics University of Maryland School of Medicine Division of Gerontology Baltimore VA Medical Center 10 North Greene Street GRECC (BT/18/GR) Baltimore, MD 21201-1524 (Phone) 410-605-7119 (Fax) 410-605-7913 (Please call phone number above prior to faxing)>>> Alex Roy <alexroy2008 at gmail.com> 7/21/2009 7:01 AM >>>Dear all, How can I test for collinearity in the predictor data set for multiple linear regression. Thanks Alex [[alternative HTML version deleted]] ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Confidentiality Statement: This email message, including any attachments, is for th...{{dropped:6}}
Hi Alex, I personally have had more success with the (more complicated) collinearity diagnostics proposed by Belsley, Kuh & Welsch in their book "Regression Diagnostics" than with Variance Inflation Factors. See also: Belsley, D. A. A Guide to using the collinearity diagnostics. Computational Economics, 1991, 4, 33-50 However, I know of no R package that implements these diagnostics. Anyway, it's not hard to do so oneself. Good luck! Stephan Alex Roy schrieb:> Dear all, > How can I test for collinearity in the predictor data set > for multiple linear regression. > > Thanks > > Alex > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >