The corrected VIF (CVIF)

José Dias Curto and Jos� Castro Pinto

Journal of Applied Statistics, 2011, vol. 38, issue 7, 1499-1507

Abstract: In this paper, we propose a new corrected variance inflation factor (VIF) measure to evaluate the impact of the correlation among the explanatory variables in the variance of the ordinary least squares estimators. We show that the real impact on variance can be overestimated by the traditional VIF when the explanatory variables contain no redundant information about the dependent variable and a corrected version of this multicollinearity indicator becomes necessary.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:38:y:2011:i:7:p:1499-1507

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DOI: 10.1080/02664763.2010.505956

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