The problem of near-multicollinearity revisited: erratic vs systematic volatility.
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Publication:1867728
DOI10.1016/S0304-4076(01)00144-0zbMath1043.62061MaRDI QIDQ1867728
Publication date: 2 April 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
condition numberill-conditioningnorm boundserratic volatilitynear-multicollinearitystatistical parameterizationsystematic volatility
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Diagnostics, and linear inference and regression (62J20)
Related Items (7)
Severity and Trustworthy Evidence: Foundational Problems versus Misuses of Frequentist Testing ⋮ Variance Inflation Factor and Condition Number in multiple linear regression ⋮ Near-collinearity in linear regression revisited: The numerical vs. the statistical perspective ⋮ A note about the corrected VIF ⋮ Revisiting the statistical specification of near-multicollinearity in the logistic regression model ⋮ The corrected VIF (CVIF) ⋮ A VIF-based optimization model to alleviate collinearity problems in multiple linear regression
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