Hi Alex,
I personally have had more success with the (more complicated)
collinearity diagnostics proposed by Belsley, Kuh & Welsch in their book
"Regression Diagnostics" than with Variance Inflation Factors. See also:
Belsley, D. A. A Guide to using the collinearity diagnostics.
Computational Economics, 1991, 4, 33-50
However, I know of no R package that implements these diagnostics.
Anyway, it's not hard to do so oneself.
Good luck!
Stephan
Alex Roy schrieb:
Dear all,
How can I test for collinearity in the predictor data set
for multiple linear regression.
Thanks
Alex
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