mctest (version 1.1)

mc.plot: Plot of VIF and Eigenvalues

Description

Plot of VIF and Eigenvalues for detection of multicollinearity among regressors. The VIF and Eigenvalues are also displayed on graph. Eigenvalues plot can be displayed with or without inclusion of intercept term.

Usage

mc.plot(x,y, Inter=FALSE, vif=10, ev=0.01, ...)

Arguments

x

A numeric design matrix and should contain more than one regressor.

y

A numeric vector of response variable.

Inter

Whether to include or exclude Intercept term, by default Inter=FALSE.

vif

Threshold of VIF and will appear as horizontal line on VIF plot. The default value is vif=10.

ev

Threshold of Eigenvalues and will appear as horizontal line on Eigenvalues plot. The default value is ev=0.01.

…

Extra argument(s) if used will be ignored.

Value

Don't return any thing, it displays plot

Details

mc.plot function draw graphs of VIF and Eigenvalues for graphical detection of collinearity among regression. Horizontal line for VIF and Eigenvalues is drawn as indication of threshold values of both VIF and Eigenvalues for testing the multicollinearity.

References

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

Chatterjee, S. and A. Hadi, Regression Analysis by Example. 4 ed. 2006, Hoboken, New York; John Wiley 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.

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

See Also

Overall collinearity diagnostic measures omcdiag, Individual collinearity diagnostic measures imcdiag

Examples

# NOT RUN {
## Hald Cement data
data(Hald)
x<-Hald[,-1]
y<-Hald[,1]

## plot with default threshold of VIF and Eigenvalues with no intercept
mc.plot(x, y)

## plot with default threshold of VIF and Eigenvalues with intercept
mc.plot(x, y, Inter=TRUE)

## plot with specific threshold of VIF and Eigenvalues with no intercept
mc.plot(x, y, vif=5, ev=20)

## plot with specific threshold of VIF and Eigenvalues with intercept
mc.plot(x, y, vif=5, ev=20, Inter=TRUE)
# }