Dear Martin, > -----Original Message----- > From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] > On Behalf Of Martin H. Schmidt > Sent: Thursday, September 20, 2012 8:52 AM > To: r-help@r-project.org > Subject: [R] Variance Inflation Factor VIC() with a matrix > > Hi everyone, > > Running the vif() function from the car package like > > ---------------------------------------------------- > > reg2 <- lm(CARsPur~Delay_max10+LawChange+MarketTrend_20d+MultiTrade, > data=data.frame(VarVecPur)) > > vif(reg2) > Delay_max10 LawChange MarketTrend_20d MultiTrade > 1.010572 1.009874 1.004278 1.003351 > ---------------------------------------------------- > > gives a useful result. But using the right-hand variables as a matrix in > the following way doesn't work with the vif() function: > > ---------------------------------------------------- > > reg <- lm(CARsPur~VarVecPur) > > summary(reg) > > Call: > lm(formula = CARsPur ~ VarVecPur) > > Residuals: > Min 1Q Median 3Q Max > -0.72885 -0.06461 0.00493 0.06873 0.74936 > > Coefficients: > Estimate Std. Error t value Pr(>|t|) > (Intercept) -0.037860 0.006175 -6.131 9.25e-10 *** > VarVecPurDelay_max10 0.003661 0.001593 2.298 0.0216 * > VarVecPurLawChange 0.004679 0.006185 0.757 0.4493 > VarVecPurMarketTrend_20d 0.019015 0.001409 13.493 < 2e-16 *** > VarVecPurMultiTrade -0.005081 0.003129 -1.624 0.1045 > --- > Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1 > > Residual standard error: 0.1229 on 6272 degrees of freedom > Multiple R-squared: 0.03021, Adjusted R-squared: 0.02959 > F-statistic: 48.84 on 4 and 6272 DF, p-value: < 2.2e-16 > > > vif(reg) > Error in vif.lm(reg) : model contains fewer than 2 terms > > ---------------------------------------------------- > Is there a solution or a way to work around?
Not with vif() in the car package, which wants to compute generalized variance inflation factors (GVIFs) for multi-df terms in the model. Single-df VIFs are pretty simple, so you could just write your own function. Alternatively, there are other packages on CRAN, such as DAAG, that compute VIFs, so you might try one of these. I hope this helps, John ----------------------------------------------- John Fox Senator McMaster Professor of Social Statistics Department of Sociology McMaster University Hamilton, Ontario, Canada > > Thank you very much in advanced. > > > > -- > Kind Regards, > > Martin H. Schmidt > Humboldt University Berlin > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting- > guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
