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.
exog : ndarray, (nobs, k_vars)
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 : float
variance inflation factor
- class for regression diagnostics TODO: doesn’t exist yet
This function does not save the auxiliary regression.