VIF {regclass}

Variance Inflation Factor

Description

Calculates the variation inflation factors of all predictors in regression models

Usage

VIF(mod)

Arguments

mod

A linear or logistic regression model

Details

This function is a simple port of vif from the car package. The VIF of a predictor is a measure for how easily it is predicted from a linear regression using the other predictors. Taking the square root of the VIF tells you how much larger the standard error of the estimated coefficient is respect to the case when that predictor is independent of the other predictors.

A general guideline is that a VIF larger than 5 or 10 is large, indicating that the model has problems estimating the coefficient. However, this in general does not degrade the quality of predictions. If the VIF is larger than 1/(1-R2), where R2 is the Multiple R-squared of the regression, then that predictor is more related to the other predictors than it is to the response.

Author(s)

Adam Petrie

References

Introduction to Regression and Modeling with R

Examples

	#A case where the VIFs are small
	data(SALARY)
	M <- lm(Salary~.,data=SALARY)
	VIF(M)

  #A case where (some of) the VIFs are large
  data(BODYFAT)
  M <- lm(BodyFat~.,data=BODYFAT)
  VIF(M)