Curto, José Dias; Pinto, José Castro - In: Journal of Applied Statistics 38 (2011) 7, pp. 1499-1507
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...