Programming the statistical procedures from SAS

VIF values with int vs. noint REG model

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Regular Contributor
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VIF values with int vs. noint REG model

[ Edited ]

We get different values of VIF while doing linear regression model with intercept vs. no intercept.  A model with noint yields a higher Vif than one with int. I understand it is because of different rsquare value. Theoretically, model with no intercept makes sense but the values are very high. If i use the thumb rule - variables having VIF >10 should be checked for collinearity, i would have to drop a lot of variables. My interest area is to correct collinearity for a logistic regression model. Hence i am least interested for r square of linear regression model. Which method is correct?

 

proc reg data=sashelp.cars;
model MPG_City = weight Horsepower EngineSize Wheelbase Cylinders / vif noint;
ods output parameterestimates=parest2;
run;
quit;

 

proc reg data=sashelp.cars;
model MPG_City = weight Horsepower EngineSize Wheelbase Cylinders / vif;
ods output parameterestimates=parest2;
run;
quit;

Contributor
Posts: 64

Re: VIF values with int vs. noint REG model

When you choose no intercept, you are essentially forcing it to zero. Therefore, you are saying "when my x's are all 0, I expect my Y to be 0."  That is the only situation that you should use that option.

 

The reason you get high VIF's in a no-intercept situation, is because VIF is a ratio that is related to R2. And when you choose no intercept, you can get much higher R2 values. Why? Thats a long one, but here's a great article on it. 

 

Now that you've learned why R2 goes up, look back at the VIF equation:   VIF = 1 / (1 - R2)   So its easy to see that as VIF goes up, the denominator goes down, which makes overall VIF go up. Smiley Happy

 

 

tl;dr  Using noint is for a specific scenario, which R2 is measured differently and is often higher. Since VIF is related to R2, it also goes up. 

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