mctest (version 1.0)

mctest: Multicollinearity diagnostic measures

Description

mctest display overall, individual or both types of multicollinearity diagnostic measures from omcdiag and imcdiag functions respectively.

Usage

mctest(x, y, type=c("o","i","b"), na.rm = TRUE, Inter=TRUE, method=NULL, corr=FALSE, detr=0.01, red=0.5, theil=0.5, cn=30, vif=10, tol=0.1, conf=0.95, cvif=10, leamer=0.1, ...)

Arguments

x

a numeric design matrix and should contain more than one regressor

y

a numeric vector of response variable

na.rm

whether to remove missing observations

Inter

whether to include or exclude Intercept term

type

displays overall, individual or both type of collinearity dignostics. Individual collinearity diagnostics are displayed by default.

method

specific individual measure of collinearity such as VIF, TOL, CVIF, adn Leamer, etc. For example, method="VIF"

corr

whether to display correlation matrix or not Inter=TRUE

detr

determinant default threshold

red

red indicator default threshold

theil

Theil indicator default threshold

cn

condition number default threshold

vif

defualt threshold for VIF measure, vif=10

conf

default confidence level for Farrar's test, conf=0.99

cvif

default threshold for CVIF measure, CVIF=10

tol

default threshold forTOL measure, TOL=0.10

leamer

default threshold for Leamer's method, leamer=0.1

...

extra argument(s) if used will be ignored

References

Imdadullah, M. Addressing Linear Regression Models with Correlated Regressors: Some Package Development in R, Unpublished Ph.D thesis, Department of Statistics, Bahauddin Zakriya University, Multan, Pakistan.

Belsely, D.A., A Guide to Using the Collinearity Diagnostics. Computer science in Economics and Management, 1991. 4(1): 33--50.

Catterjee, S. and A. Hadi, Regression Analysis by Example. 4 ed. 2006, Hoboken, New York; John Willey and Sons Inc.

Belsley, David. A., Edwin. Kuh, and Roy. E. Welsch. 1980. Regression Diagnostics: Identifying Influential Data and Sources of Collinearity. New York: John Wiley and Sons.

Greene, William H. 2000. Econometric Analysis. 4th Ed. Upper Saddle River, NJ: Prentice--Hall.

See Also

omcdiag, imcdiag

Examples

## Hald Cement data
data(Hald)
x<-Hald[,-1]
y<-Hald[,1]

## Overall diagnostic measures and eigenvalues with intercept term
mctest(x, y)

## Overall diagnostic measures and eigenvalues without intercept term
mctest(x, y, Inter=FALSE)

## all individual diagnostic measures
mctest(x, y, type="i")

## certain individual diagnostic measures with collinearity detection indication
VIF<-mctest(x, y, type="i", method="VIF")
VIF[[1]][,1] # named VIF values only

## all individual diagnostic measures with correlation matrix
mctest(x, y, type="i", corr=TRUE)

## VIF and correlation matrix with collinearity detection indication
mctest(x, y, type="i", method="VIF", corr=TRUE)

## both overall and individual collinearity diagnostics
mctest(x, y, type="b")
mctest(x, y, type="b", method="VIF", cor=TRUE)

## all overall and vif with correlation matrix
## VIF and CN desired threshold
## eigenvalues without intercept term
mctest(x, y, type="b", method="VIF", Inter=FALSE, vif=15, cn=35)