vif: Calculate the Variance Inflation Factor

In HH: Statistical Analysis and Data Display: Heiberger and Holland

Calculate the Variance Inflation Factor

Description

The VIF for predictor i is 1/(1-R_i^2), where R_i^2 is the R^2 from a regression of predictor i against the remaining predictors.

Usage

vif(xx, ...)

## Default S3 method:
vif(xx, y.name, na.action = na.exclude, ...) ## xx is a data.frame

## S3 method for class 'formula'
vif(xx, data, na.action = na.exclude, ...)   ## xx is a formula

## S3 method for class 'lm'
vif(xx, na.action = na.exclude, ...)  ## xx is a "lm" object computed with x=TRUE

Arguments

xx	data.frame, or formula, or lm object computed with x=TRUE.
na.action	See na.action.
...	additional arguments.
y.name	Name of Y-variable to be excluded from the computations.
data	A data frame in which the variables specified in the formula will be found. If missing, the variables are searched for in the standard way.

Details

A simple diagnostic of collinearity is the variance inflation factor, VIF one for each regression coefficient (other than the intercept). Since the condition of collinearity involves the predictors but not the response, this measure is a function of the X's but not of Y. The VIF for predictor i is 1/(1-R_i^2), where R_i^2 is the R^2 from a regression of predictor i against the remaining predictors. If R_i^2 is close to 1, this means that predictor i is well explained by a linear function of the remaining predictors, and, therefore, the presence of predictor i in the model is redundant. Values of VIF exceeding 5 are considered evidence of collinearity: The information carried by a predictor having such a VIF is contained in a subset of the remaining predictors. If, however, all of a model's regression coefficients differ significantly from 0 (p-value < .05), a somewhat larger VIF may be tolerable.

Value

Vector of VIF values, one for each X-variable.

Author(s)

Richard M. Heiberger <[e-mail]>

References

Heiberger, Richard M. and Holland, Burt (2015). Statistical Analysis and Data Display: An Intermediate Course with Examples in R. Second Edition. Springer-Verlag, New York. https://link.springer.com/book/10.1007/978-1-4939-2122-5

See Also

lm.

Examples

data(usair)

usair$lnSO2 <- log(usair$SO2)
usair$lnmfg <- log(usair$mfgfirms)
usair$lnpopn <- log(usair$popn)

usair.lm <- lm(lnSO2 ~ temp + lnmfg + wind + precip, data=usair, x=TRUE)

vif(usair.lm)  ## the lm object must be computed with x=TRUE

vif(lnSO2 ~ temp + lnmfg + wind + precip, data=usair)

vif(usair)

vif(usair, y.name="lnSO2")

HH documentation built on Aug. 9, 2022, 5:08 p.m.