[RsR] VIF for robust regression?
Nicholas Lewin-Koh
n|kko @end|ng |rom h@||m@||@net
Thu Mar 31 17:35:10 CEST 2011
Hi,
I was looking at the vif function in the car package
and it it is trivial to modify to make a version for robust
regression. However, after trying it out I noticed that what
were reasonable values under ols, jumped way up.
So my thought is that either,
I made a coding error, and the weights attribute needs to be used
to modify the variance covariance matrix of the coefficients
Or, the reduced variance from the robust regression, causes peripheral
points
(outside the mve) to have much more influence in the r^2's for each
predictor.
So that the standard vif measure, 1/(1-R^2_i) is not relevant in this
context.
Am I off base here?
Thanks
Nicholas
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