[R] Condition indexes and variance inflation factors

Uwe Ligges ligges at statistik.uni-dortmund.de
Wed Jul 23 17:35:17 CEST 2003

Peter Flom wrote:

> Has anyone programmed condition indexes in R?
> I know that there is a function for variance inflation factors
> available in the car package; however, Belsley (1991) Conditioning
> Diagnostics (Wiley) notes that there are several weaknesses of VIFs:
> e.g. 1) High VIFs are sufficient but not necessary conditions for
> collinearity  2) VIFs don't diagnose the number of collinearities and 3)
> No one has determined how high a VIF has to be for the collinearity to
> be damaging.
> He then develops and suggests using condition indexes instead, so I was
> wondering if anyone had programmed them.
> Thanks
> Peter

I think Juergen Gross has something like that in his new book
Gross, J. (2003): Linear Regression, Springer (in press - OK, not very 
helpful here).

You might want to contact him privately (in CC).

Uwe Ligges

> Peter L. Flom, PhD
> Assistant Director, Statistics and Data Analysis Core
> Center for Drug Use and HIV Research
> National Development and Research Institutes
> 71 W. 23rd St
> www.peterflom.com
> New York, NY 10010
> (212) 845-4485 (voice)
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