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Martin H. Schmidt

2012-Sep-20 12:52 UTC

[R] Variance Inflation Factor VIC() with a matrix

Hi everyone,

Running the vif() function from the car package like

----------------------------------------------------
 > reg2 <- lm(CARsPur~Delay_max10+LawChange+MarketTrend_20d+MultiTrade, 
data=data.frame(VarVecPur))
 > vif(reg2)
     Delay_max10       LawChange MarketTrend_20d      MultiTrade
        1.010572        1.009874        1.004278        1.003351
----------------------------------------------------

gives a useful result. But using the right-hand variables as a matrix in 
the following way doesn't work with the vif() function:

----------------------------------------------------
 > reg  <- lm(CARsPur~VarVecPur)
 > summary(reg)

Call:
lm(formula = CARsPur ~ VarVecPur)

Residuals:
      Min       1Q   Median       3Q      Max
-0.72885 -0.06461  0.00493  0.06873  0.74936

Coefficients:
                           Estimate Std. Error t value Pr(>|t|)
(Intercept)              -0.037860   0.006175  -6.131 9.25e-10 ***
VarVecPurDelay_max10      0.003661   0.001593   2.298   0.0216 *
VarVecPurLawChange        0.004679   0.006185   0.757   0.4493
VarVecPurMarketTrend_20d  0.019015   0.001409  13.493  < 2e-16 ***
VarVecPurMultiTrade      -0.005081   0.003129  -1.624   0.1045
---
Signif. codes:  0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1

Residual standard error: 0.1229 on 6272 degrees of freedom
Multiple R-squared: 0.03021,    Adjusted R-squared: 0.02959
F-statistic: 48.84 on 4 and 6272 DF,  p-value: < 2.2e-16

 > vif(reg)
Error in vif.lm(reg) : model contains fewer than 2 terms

----------------------------------------------------
Is there a solution or a way to work around?

Thank you very much in advanced.



-- 
Kind Regards,

Martin H. Schmidt
Humboldt University Berlin

John Fox

2012-Sep-20 15:52 UTC

head link

[R] Variance Inflation Factor VIC() with a matrix

Dear Martin,
> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at
r-project.org]
> On Behalf Of Martin H. Schmidt
> Sent: Thursday, September 20, 2012 8:52 AM
> To: r-help at r-project.org
> Subject: [R] Variance Inflation Factor VIC() with a matrix
> 
> Hi everyone,
> 
> Running the vif() function from the car package like
> 
> ----------------------------------------------------
>  > reg2 <-
lm(CARsPur~Delay_max10+LawChange+MarketTrend_20d+MultiTrade,
> data=data.frame(VarVecPur))
>  > vif(reg2)
>      Delay_max10       LawChange MarketTrend_20d      MultiTrade
>         1.010572        1.009874        1.004278        1.003351
> ----------------------------------------------------
> 
> gives a useful result. But using the right-hand variables as a matrix in
> the following way doesn't work with the vif() function:
> 
> ----------------------------------------------------
>  > reg  <- lm(CARsPur~VarVecPur)
>  > summary(reg)
> 
> Call:
> lm(formula = CARsPur ~ VarVecPur)
> 
> Residuals:
>       Min       1Q   Median       3Q      Max
> -0.72885 -0.06461  0.00493  0.06873  0.74936
> 
> Coefficients:
>                            Estimate Std. Error t value Pr(>|t|)
> (Intercept)              -0.037860   0.006175  -6.131 9.25e-10 ***
> VarVecPurDelay_max10      0.003661   0.001593   2.298   0.0216 *
> VarVecPurLawChange        0.004679   0.006185   0.757   0.4493
> VarVecPurMarketTrend_20d  0.019015   0.001409  13.493  < 2e-16 ***
> VarVecPurMultiTrade      -0.005081   0.003129  -1.624   0.1045
> ---
> Signif. codes:  0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
> 
> Residual standard error: 0.1229 on 6272 degrees of freedom
> Multiple R-squared: 0.03021,    Adjusted R-squared: 0.02959
> F-statistic: 48.84 on 4 and 6272 DF,  p-value: < 2.2e-16
> 
>  > vif(reg)
> Error in vif.lm(reg) : model contains fewer than 2 terms
> 
> ----------------------------------------------------
> Is there a solution or a way to work around?
Not with vif() in the car package, which wants to compute generalized variance
inflation factors (GVIFs) for multi-df terms in the model. Single-df VIFs are
pretty simple, so you could just write your own function. Alternatively, there
are other packages on CRAN, such as DAAG, that compute VIFs, so you might try
one of these.

I hope this helps,
 John

-----------------------------------------------
John Fox
Senator McMaster Professor of Social Statistics
Department of Sociology
McMaster University
Hamilton, Ontario, Canada

> 
> Thank you very much in advanced.
> 
> 
> 
> --
> Kind Regards,
> 
> Martin H. Schmidt
> Humboldt University Berlin
> 
> ______________________________________________
> 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.

Michael Friendly

2012-Sep-20 19:50 UTC

head link

[R] Variance Inflation Factor VIC() with a matrix

You've stumbled across the answer to your question --

while lm() supports y~X formulas without a data=argument
and y~ X1+X2+X3 formulas with one, you can't depend on
all contributed functions to do the same.

As John pointed out, the advantage of car::vif over other
implementations is that it correctly handles the cases
of factors, polynomial terms, etc. for which generalized
VIF is more useful, and this is most easily accommodated
with the formula interface.

The matrix interface takes less typing, but sometimes
leaves you wondering later what you actually had in VarVecPur.

-Michael


On 9/20/2012 8:52 AM, Martin H. Schmidt wrote:> Hi everyone,
>
> Running the vif() function from the car package like
>
> ----------------------------------------------------
>  > reg2 <-
lm(CARsPur~Delay_max10+LawChange+MarketTrend_20d+MultiTrade,
> data=data.frame(VarVecPur))
>  > vif(reg2)
>      Delay_max10       LawChange MarketTrend_20d      MultiTrade
>         1.010572        1.009874        1.004278        1.003351
> ----------------------------------------------------
>
> gives a useful result. But using the right-hand variables as a matrix in
> the following way doesn't work with the vif() function:
>
> ----------------------------------------------------
>  > reg  <- lm(CARsPur~VarVecPur)
>  > summary(reg)
>
> Call:
> lm(formula = CARsPur ~ VarVecPur)
>
> Residuals:
>       Min       1Q   Median       3Q      Max
> -0.72885 -0.06461  0.00493  0.06873  0.74936
>
> Coefficients:
>                            Estimate Std. Error t value Pr(>|t|)
> (Intercept)              -0.037860   0.006175  -6.131 9.25e-10 ***
> VarVecPurDelay_max10      0.003661   0.001593   2.298   0.0216 *
> VarVecPurLawChange        0.004679   0.006185   0.757   0.4493
> VarVecPurMarketTrend_20d  0.019015   0.001409  13.493  < 2e-16 ***
> VarVecPurMultiTrade      -0.005081   0.003129  -1.624   0.1045
> ---
> Signif. codes:  0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
>
> Residual standard error: 0.1229 on 6272 degrees of freedom
> Multiple R-squared: 0.03021,    Adjusted R-squared: 0.02959
> F-statistic: 48.84 on 4 and 6272 DF,  p-value: < 2.2e-16
>
>  > vif(reg)
> Error in vif.lm(reg) : model contains fewer than 2 terms
>
> ----------------------------------------------------
> Is there a solution or a way to work around?
>
> Thank you very much in advanced.
>
>
>

-- 
Michael Friendly     Email: friendly AT yorku DOT ca
Professor, Psychology Dept.
York University      Voice: 416 736-2100 x66249 Fax: 416 736-5814
4700 Keele Street    Web:   http://www.datavis.ca
Toronto, ONT  M3J 1P3 CANADA

R help - Sep 2012 - Variance Inflation Factor VIC() with a matrix

[R] Variance Inflation Factor VIC() with a matrix

[R] Variance Inflation Factor VIC() with a matrix

[R] Variance Inflation Factor VIC() with a matrix