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
exogndarray

design matrix with all explanatory variables, as for example used in regression

exog_idxint

index of the exogenous variable in the columns of exog

Returns
viffloat

variance inflation factor

See also

xxx

class for regression diagnostics TODO: does not exist yet

Notes

This function does not save the auxiliary regression.

References

https://en.wikipedia.org/wiki/Variance_inflation_factor