VIF: Generalised Variance Inflation Factors

In murphymv/semEff: Automatic Calculation of Effects for Piecewise Structural Equation Models

Generalised Variance Inflation Factors

Description

Calculate generalised variance inflation factors for terms in a fitted model(s) via the variance-covariance matrix of coefficients.

Usage

VIF(mod, data = NULL, env = NULL)

Arguments

mod	A fitted model object, or a list or nested list of such objects.
data	An optional dataset, used to first refit the model(s).
env	Environment in which to look for model data (if none supplied). Defaults to the formula() environment.

Details

VIF() calculates generalised variance inflation factors (GVIF) as described in Fox & Monette (1992), and also implemented in car::vif(). However, whereas car::vif() returns both GVIF and GVIF^(1/(2*Df)) values, VIF() simply returns the squared result of the latter measure, which equals the standard VIF for single-coefficient terms and is the equivalent measure for multi-coefficient terms (e.g. categorical or polynomial). Also, while car::vif() returns values per model term (i.e. predictor variable), VIF() returns values per coefficient, meaning that the same value will be returned per coefficient for multi-coefficient terms. Finally, NA is returned for any terms which could not be estimated in the model (e.g. aliased).

Value

A numeric vector of the VIFs, or an array, list of vectors/arrays, or nested list.

References

Fox, J., & Monette, G. (1992). Generalized Collinearity Diagnostics. Journal of the American Statistical Association, 87, 178-183. \Sexpr[results=rd]{tools:::Rd_expr_doi("10/dm9wbw")}

Examples

# Model with two correlated terms
m <- shipley.growth[[3]]
VIF(m)  # Date & DD somewhat correlated
VIF(update(m, . ~ . - DD))  # drop DD

# Model with different types of predictor (some multi-coefficient terms)
d <- data.frame(
  y = rnorm(100),
  x1 = rnorm(100),
  x2 = as.factor(rep(c("a", "b", "c", "d"), each = 25)),
  x3 = rep(1, 100)
)
m <- lm(y ~ poly(x1, 2) + x2 + x3, data = d)
VIF(m)

murphymv/semEff documentation built on Sept. 18, 2024, 7:40 p.m.