The corrected VIF (CVIF)
AbstractIn this paper, we propose a new corrected variance inflation factor (VIF) measure to evaluate the impact of the correlation among the explanatory variables in the variance of the ordinary least squares estimators. We show that the real impact on variance can be overestimated by the traditional VIF when the explanatory variables contain no redundant information about the dependent variable and a corrected version of this multicollinearity indicator becomes necessary.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 38 (2011)
Issue (Month): 7 (June)
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