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Re: st: Variable Inflation Factor (VIF) for non-linear models
From
James Bernard <[email protected]>
To
[email protected]
Subject
Re: st: Variable Inflation Factor (VIF) for non-linear models
Date
Tue, 5 Nov 2013 16:09:48 +0800
Thanks for the helpful comments
On Mon, Oct 28, 2013 at 1:09 AM, David Hoaglin <[email protected]> wrote:
> Hi, James.
>
> VIF stands for Variance Inflation Factor, the factor by which the
> variance of the estimated coefficient of a predictor is inflated by
> the relation between that predictor and the other predictors. A
> predictor's VIF equals the reciprocal of 1 - R^2, where the R^2 comes
> from the multiple regression of that predictor on the other
> predictors. It may be helpful to think of that 1 - R^2 as the "usable
> fraction" of the predictor.
>
> In types of regression other than ordinary linear regression, the VIF
> from the corresponding linear regression will not be the whole story
> (as Nick pointed out), but it should be a helpful start.
>
> A "large" VIF indicates the presence of a collinearity relation
> involving the predictor, but it provides no further information. To
> understand the nature of the collinearity (or collinearities), I use
> the diagnostics discussed in the book by Belsley, Kuh, and Welsch
> (1980) and in a later book by Belsley. For Stata they're implemented
> in the user-written command -coldiag2-, available from SSC.
>
> David Hoaglin
>
> Belsley DA, Kuh E, Welsch RE (1980). Regression Diagnostics. Wiley.
>
> On Sun, Oct 27, 2013 at 6:42 AM, James Bernard <[email protected]> wrote:
>> Hi all,
>>
>> I would like to know if after a count model (xtpoisson command) Stata
>> can give me VIF of the predictors?
>>
>> I looked for it in the post-estimation section of -xtpoisson-, but
>> could not find any thing. Is it a theoretical issues that VIF can not
>> be calculated for count models? Or, is it a software issues?
>>
>> Is there any substitute for it in log-linear models? I don't want to
>> use correlations to justify absence of multicollinearity.
>>
>> Thanks,
>> James
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