Programming the statistical procedures from SAS

Collinearity diagnostics

Posts: 21

Collinearity diagnostics

Need a refresher/reminder about collinearity diagnostics. 


I know collinearity is present if there is a high condition index and VIFs that are greater than 0.5 of two or more variables.


When it discusses "two or more variables" is that on the same line or is that for all of the VIFs?


I have attached by output - just can't remember if it's VIFs in the same line or all around in the table.



Respected Advisor
Posts: 5,052

Re: Collinearity diagnostics

Proc REG documentation states:


A collinearity problem occurs when a component associated with a high 
condition index contributes strongly (variance proportion greater than about
 0.5) to the variance of two or more variables. 

each line in the collinearity diagnostics table is about a component. Condition indexes inferior to 10 are not high.


It also says:


There are no formal criteria for deciding if a VIF is large enough to affect the
 predicted values. 
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