ki {multiColl} | R Documentation |
Stewart's index
Description
The function returns the index of Stewart of the independent variables in the multiple linear regession model.
Usage
ki(X, dummy = FALSE, pos = NULL)
Arguments
X |
A numeric design matrix that should contain more than one regressor (intercept included). |
dummy |
A logical value that indicates if there are dummy variables in the design matrix |
pos |
A numeric vector that indicates the position of the dummy variables, if these exist, in the design matrix |
Details
The index of Stewart allows to detect the near essential and non-essential multicollinearity existing in a multiple linear regression model. In addition, due to its relation with the Variance Inflation Factor (VIF), it allows to calculate the proportion of essential and non-essential multicollinearity in each independent variable (intercept excluded). The Stewart's index for the intercept indicates the degree of non-essential multicollinearity existing in the model.
The relation of the the VIF with the index of Stewart implies that it should not be calculated for non-quantitative variables.
Value
ki |
Stewart's index for each independent variable. |
porc1 |
Proportion of essential multicollinearity in the i-th independent variable (without intercept). |
porc2 |
Proportion of non-essential multicollinearity in the i-th independent variable (without intercept). |
Author(s)
R. Salmerón (romansg@ugr.es) and C. García (cbgarcia@ugr.es).
References
G. Stewart (1987). Collinearity and least squares regression. Statistical Science, 2 (1), 68-100.
L. R. Klein and A.S. Goldberger (1964). An economic model of the United States, 1929-1952. North Holland Publishing Company, Amsterdan.
H. Theil (1971). Principles of Econometrics. John Wiley & Sons, New York.
See Also
VIF
.
Examples
# Henri Theil's textile consumption data modified
data(theil)
head(theil)
cte = array(1,length(theil[,2]))
theil.X = cbind(cte,theil[,-(1:2)])
ki(theil.X, TRUE, pos = 4)
# Klein and Goldberger data on consumption and wage income
data(KG)
head(KG)
cte = array(1,length(KG[,1]))
KG.X = cbind(cte,KG[,-1])
ki(KG.X)