variance inflation factor

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lnp3
Posts: 69
Joined: Sat Oct 01, 2011 7:28 pm

variance inflation factor

Postby lnp3 » Fri Aug 09, 2013 10:48 am

dear forum,

I am using Eviews 8. How can I test multi-collinearity? I am always using pairwise correlation matrix to control MC (among independent variables) and dropping variables that cause high inter-correlation (let's say over 0.4; 0.5)

however, Is there any test of VIF? variance inflation factor? If so, what is the determination criterion?

as always, I highly appreciate your help.

lnp3

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: variance inflation factor

Postby EViews Gareth » Fri Aug 09, 2013 10:55 am

After you've estimated your equation, you can click View->Coefficient Diagnostics->Vif
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lnp3
Posts: 69
Joined: Sat Oct 01, 2011 7:28 pm

Re: variance inflation factor

Postby lnp3 » Fri Aug 09, 2013 1:09 pm

thank you Eviews Gareth.

lnp3
Posts: 69
Joined: Sat Oct 01, 2011 7:28 pm

Re: variance inflation factor

Postby lnp3 » Sun Aug 11, 2013 4:35 am

dear forum,

how can i read these variance inflation factors in Eviews 8? when are variables considered to be multi-collinear?


Variance Inflation Factors
Date: 08/11/13 Time: 07:32
Sample: 2006 2012
Included observations: 178

Coefficient Uncentered
Variable Variance VIF

D(TNINTEX) 0.062030 2.016873
D(MS) 4.97E+13 2.446379
D(RIGL) 3.63E+08 1.417163
D(TCGDP) 1.21E+09 2.824274
D(MBGDP) 3.27E+10 1.950917
D(FFGDP) 5.90E+08 1.339142




thanks a lot in advance.

startz
Non-normality and collinearity are NOT problems!
Posts: 3499
Joined: Wed Sep 17, 2008 2:25 pm

Re: variance inflation factor

Postby startz » Sun Aug 11, 2013 8:10 am

Why do you care if the variables are multi-collinear?

lnp3
Posts: 69
Joined: Sat Oct 01, 2011 7:28 pm

Re: variance inflation factor

Postby lnp3 » Mon Aug 12, 2013 9:05 am

it is asked in a review report.

startz
Non-normality and collinearity are NOT problems!
Posts: 3499
Joined: Wed Sep 17, 2008 2:25 pm

Re: variance inflation factor

Postby startz » Mon Aug 12, 2013 9:28 am

lnp3 wrote:it is asked in a review report.

Hard to argue with that :!:

lnp3
Posts: 69
Joined: Sat Oct 01, 2011 7:28 pm

Re: variance inflation factor

Postby lnp3 » Mon Aug 12, 2013 9:33 am

I was informed that Gujarati says that VIF> 10 then Multicoloinarity exists,and some others restrict it to 5 however we take 10.

Is this rule for entire test? or individual variables? Eviews does not report the entire test. It reports for individual variables. Please see results above.

I hope somebody can help me with this?

thanks a lot.


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