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Variance Inflation Factor VIC() with a matrix

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Martin H. Schmidt

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?

Thank you very much in advanced.

--
Kind Regards,

Martin H. Schmidt
Humboldt University Berlin

______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
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John Fox

Re: Variance Inflation Factor VIC() with a matrix

Dear Martin,

> -----Original Message-----
> From: [hidden email] [mailto:[hidden email]]
> On Behalf Of Martin H. Schmidt
> Sent: Thursday, September 20, 2012 8:52 AM
> To: [hidden email]
> 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
>
> ______________________________________________
> [hidden email] 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.

______________________________________________
[hidden email] 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.

Michael Friendly

Re: Variance Inflation Factor VIC() with a matrix

In reply to this post by Martin H. Schmidt

You've stumbled across the answer to your question --

while lm() supports y~X formulas without a data=argument
and y~ X1+X2+X3 formulas with one, you can't depend on
all contributed functions to do the same.

As John pointed out, the advantage of car::vif over other
implementations is that it correctly handles the cases
of factors, polynomial terms, etc. for which generalized
VIF is more useful, and this is most easily accommodated
with the formula interface.

The matrix interface takes less typing, but sometimes
leaves you wondering later what you actually had in VarVecPur.

-Michael

On 9/20/2012 8:52 AM, Martin H. Schmidt wrote:

> 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?
>
> Thank you very much in advanced.
>
>
>

--
Michael Friendly Email: friendly AT yorku DOT ca
Professor, Psychology Dept.
York University Voice: 416 736-2100 x66249 Fax: 416 736-5814
4700 Keele Street Web: http://www.datavis.ca
Toronto, ONT M3J 1P3 CANADA

______________________________________________
[hidden email] 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.