variance inflation factor, VIF, for one exogenous variable
The variance inflation factor is a measure for the increase of the variance of the parameter estimates if an additional variable, given by exog_idx is added to the linear regression. It is a measure for multicollinearity of the design matrix, exog.
One recommendation is that if VIF is greater than 5, then the explanatory variable given by exog_idx is highly collinear with the other explanatory variables, and the parameter estimates will have large standard errors because of this.
Parameters: | exog : ndarray, (nobs, k_vars)
exog_idx : int
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Returns: | vif : float
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See also
Notes
This function does not save the auxiliary regression.
References