cond.index: Calculation of Condition Indices for Linear Regression
Description
Diagnosis of collinearity in X
Usage
cond.index(formula, data, ...)
Arguments
formula
formula of the form ‘groups ~ x1 + x2 + ...’
data
data frame (or matrix) containing the explanatory variables
...
further arguments to be passed to lm
Value
A vector of the condition indices.
Details
Collinearities can inflate the variance of the estimated regression coefficients and numerical stability. The condition indices are calculated by the eigenvalues of the crossproduct matrix of the scaled but uncentered explanatory variables.
Indices > 30 may indicate collinearity.
References
Belsley, D. , Kuh, E. and Welsch, R. E. (1979), Regression Diagnostics: Identifying Influential Data and Sources of Collinearity,
John Wiley (New York)