MTest: A Procedure for Multicollinearity Testing using Bootstrap.
Functions for detecting multicollinearity. This test gives statistical support to two of the most famous methods for detecting multicollinearity in applied work: Klein’s rule and Variance Inflation Factor (VIF). See the URL for the paper associated with this package, Morales-Oñate and Morales-Oñate (2023) doi:10.33333/rp.vol51n2.05
Consider the regression model
where
In order to describe Klein's rule and VIF methods, we need to define auxiliary regressions associated to the abobe model (global). An example of an auxiliary regressions is:
In general, there are
Given a regression model, Mtest is based on computing estimates of
Therefore, in the context of MTest, the VIF rule translates into:
and
We seek an achieved significance level (ASL)
estimated by
In a similar manner, the Klein's rule translates into:
and
We seek an achieved significance level
estimated by
It should be noted that this set up let us formulate VIF and Klein's rules in terms of statistical hypothesis testing.
- Create
$n_{boot}$ samples from original data with replacement of a given size ($n_{sam}$ ). - Compute
$R_{g_{boot}}^{2}$ and$R_{j_{boot}}^{2}$ from each$n_{boot}$ samples. This outputs a$B_{n_{boot}\times (p+1)}$ matrix. - Compute
$ASL_{n_{boot}}$ for the VIF and Klein's rule.
Note that the matrix