[R] Variance Inflation Factor VIC() with a matrix

[Martin H. Schmidt]

Hi everyone,

Running the vif() function from the car package like

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 > reg2 <- lm(CARsPur~Delay_max10+LawChange+MarketTrend_20d+MultiTrade, 
data=data.frame(VarVecPur))
 > vif(reg2)
     Delay_max10       LawChange MarketTrend_20d      MultiTrade
        1.010572        1.009874        1.004278        1.003351
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gives a useful result. But using the right-hand variables as a matrix in 
the following way doesn't work with the vif() function:

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 > reg  <- lm(CARsPur~VarVecPur)
 > summary(reg)

Call:
lm(formula = CARsPur ~ VarVecPur)

Residuals:
      Min       1Q   Median       3Q      Max
-0.72885 -0.06461  0.00493  0.06873  0.74936

Coefficients:
                           Estimate Std. Error t value Pr(>|t|)
(Intercept)              -0.037860   0.006175  -6.131 9.25e-10 ***
VarVecPurDelay_max10      0.003661   0.001593   2.298   0.0216 *
VarVecPurLawChange        0.004679   0.006185   0.757   0.4493
VarVecPurMarketTrend_20d  0.019015   0.001409  13.493  < 2e-16 ***
VarVecPurMultiTrade      -0.005081   0.003129  -1.624   0.1045
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.1229 on 6272 degrees of freedom
Multiple R-squared: 0.03021,    Adjusted R-squared: 0.02959
F-statistic: 48.84 on 4 and 6272 DF,  p-value: < 2.2e-16

 > vif(reg)
Error in vif.lm(reg) : model contains fewer than 2 terms

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Is there a solution or a way to work around?

Thank you very much in advanced.



-- 
Kind Regards,

Martin H. Schmidt
Humboldt University Berlin