JSM 2004 - Toronto

Abstract #300591

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Activity Number: 442
Type: Contributed
Date/Time: Thursday, August 12, 2004 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Education
Abstract - #300591
Title: Demonstrating Multicolinearity: A Spreadsheet Simulation
Author(s): David P. Doane*+ and Mark W. Isken
Companies: Oakland University and Oakland University
Address: Dept. of Decision & Info Sciences, Rochester, MI, 48309-4493,
Keywords: multicolinearity ; simulation ; spreadsheet ; colinearity ; variance Inflation
Abstract:

Spreadsheet simulations are used to demonstrate how colinearity and multicolinearity lead to variance inflation and instability of least squares estimates in linear regression. The user specifies the relationships among predictors, true model parameters, and random error magnitude. In single sample mode, individual samples are taken and the estimation results are displayed numerically and visually. In replication mode, we create empirical distributions of fitted coefficients compared with the orthogonal reference distribution to reveal the meaning of variance inflation and its consequences for estimating individual predictor coefficients.

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Revised March 2004