- statsmodels.stats.outliers_influence.variance_inflation_factor(exog, exog_idx)¶
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.
variance inflation factor
class for regression diagnostics TODO: does not exist yet
This function does not save the auxiliary regression.