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multicollinearity
Error with regsubset in leaps package - vcov and all.best option (plus calculating VIFs for subsets)
2009 May 20
1
Error with regsubset in leaps package - vcov and all.best option (plus calculating VIFs for subsets)
...ot sure if I am misinterpreting the error or have misspecified the regsubsets?
I was wanting to get the variance - covariance matrix as I believe I need it to calculate the Variance Inflation Factors (VIFs) for each of the models reported by regsubsets. As I want to exclude any models that exhibit multicollinerarity from later analysis, I am hoping to select say the 'best' 10 models and bootstrap them to find out more about how they perform.
Or am I going about this all the wrong way? is there away to calulate vifs from regsubsets or pass it directly to something that calculates them e.g. VIF in the c...