Variance Inflation Factor and Condition Number in multiple linear regression

The Variance Inflation Factor and the Condition Number are measures traditionally applied to detect the presence of collinearity in a multiple linear model. This paper presents the relation and the difference between both measures from theoretical and empirical perspectives by using Monte Carlo simu...

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Bibliographic Details
Published inJournal of statistical computation and simulation Vol. 88; no. 12; pp. 2365 - 2384
Main Authors Salmerón, R., García, C. B., García, J.
Format Journal Article
LanguageEnglish
Published Abingdon Taylor & Francis Ltd 13.08.2018
Subjects
Collinearity
Computer simulation
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Summary:The Variance Inflation Factor and the Condition Number are measures traditionally applied to detect the presence of collinearity in a multiple linear model. This paper presents the relation and the difference between both measures from theoretical and empirical perspectives by using Monte Carlo simulations and taking special interest in the computational techniques.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:0094-9655
1563-5163
DOI:10.1080/00949655.2018.1463376