[R] Collinearity in Linear Multiple Regression

[John P. Burkett]

Stephan Kolassa wrote:
> Hi Alex,
> 
> I personally have had more success with the (more complicated) 
> collinearity diagnostics proposed by Belsley, Kuh & Welsch in their book 
> "Regression Diagnostics" than with Variance Inflation Factors. See also:
> 
> Belsley, D. A. A Guide to using the collinearity diagnostics. 
> Computational Economics, 1991, 4, 33-50
> 
> However, I know of no R package that implements these diagnostics. 
> Anyway, it's not hard to do so oneself.

R code utilizing singular value decomposition and variance decomposition 
proportions along lines proposed by D. Belsley, Conditioning Diagnostics 
(1991) is available at http://www.uri.edu/artsci/ecn/burkett/scivdp.R

-John

> 
> Good luck!
> Stephan
> 
> 
> Alex Roy schrieb:
>> Dear all,
>>                   How can I test for collinearity in the predictor 
>> data set
>> for multiple linear regression.
>>
>> Thanks
>>
>> Alex
>>
>>     [[alternative HTML version deleted]]
>>
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>>
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide 
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 


-- 
John P. Burkett
Department of Economics
University of Rhode Island
Kingston, RI 02881-0808
USA

phone (401) 874-9195