# statsmodels.stats.outliers_influence.variance_inflation_factor¶

statsmodels.stats.outliers_influence.variance_inflation_factor(exog, exog_idx)[source]

variance inflation factor, VIF, for one exogenous variable

The variance inflation factor is a measure for the increase of the variance of the parameter estimates if an additional variable, given by exog_idx is added to the linear regression. It is a measure for multicollinearity of the design matrix, exog.

One recommendation is that if VIF is greater than 5, then the explanatory variable given by exog_idx is highly collinear with the other explanatory variables, and the parameter estimates will have large standard errors because of this.

Parameters: exog (ndarray) – design matrix with all explanatory variables, as for example used in regression exog_idx (int) – index of the exogenous variable in the columns of exog vif – variance inflation factor float

Notes

This function does not save the auxiliary regression.

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