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Publication Detailed Description
The corrected VIF (CVIF)
Journal Title
Journal of Applied Statistics
Year (definitive publication)
2011
Language
English
Country
United Kingdom
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Abstract
In this paper, we propose a new corrected variance inflation factor (VIF) measure to evaluate the impact of the correlation among the explanatory variables in the variance of the ordinary least squares estimators. We show that the real impact on variance can be overestimated by the traditional VIF when the explanatory variables contain no redundant information about the dependent variable and a corrected version of this multicollinearity indicator becomes necessary.
Acknowledgements
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Keywords
Corrected VIF,Near-multicollinearity
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
