Abstract #300083

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JSM 2003 Abstract #300083
Activity Number: 93
Type: Contributed
Date/Time: Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor: General Methodology
Abstract - #300083
Title: Testing Independence of Regression Variables Using Variance Inflation Factors
Author(s): Trevor A. Craney*+
Companies: Pratt & Whitney
Address: 38 Eagle Hollow Dr., Middletown, CT, 06457,
Keywords: independence ; regression ; VIF ; pants
Abstract:

Since the variance inflation factor for a regressor in multiple regression is a function of the coefficient of multiple determination when it is regressed on the other regressors, and because it is readily available in most statistical software, its use is proposed as a test for independence among the regressor variables. Simulations have been performed to identify percentiles of the sampling distribution of the maximum VIF. For small sample sizes, the common rule of thumb of 5 or 10 can falsely indicate dependence where none exists and for large sample sizes the same rule of thumb is far too conservative in detecting dependence. Specific tables of allowable maximum VIF will be discussed for dependence on the number of data points and the number of predictor variables in the regression model.

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