On the measures of multicollinearity in least squares regression

Song-Gui Wang, Siu-Keung Tse and Shein-Chung Chow

Statistics & Probability Letters, 1990, vol. 9, issue 4, 347-355

Abstract: For a general regression model y = X[beta] + e, E(e) = 0, Cov(e) = [sigma]2V-1, some results on the relationship between two measures of multicollinearity, the eigenvalues and the condition numbers of X'X and X'VX, are obtained. These results are useful in examining the effects of augmentation of data on multicollinearity and the influence of an observation on the condition number of X'X in regression diagnostics.

Keywords: Multicollinearity; condition; number; generalized; least; squares; data; augmentation; regression; diagnostic (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (2)

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