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2020-11-20
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info:eu-repo/semantics/openAccess
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Springer-Verlag GmbH Germany, part of Springer Nature
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Resumen
The linear regression model is widely applied to measure the relationship between a dependent variable and a set of independent variables. When the independent variables are related to each other, it is said that the model presents collinearity. If the relationship is between the intercept and at least one of the independent variables, the collinearity is nonessential, while if the relationship is between the independent variables (excluding the intercept), the collinearity is essential. The Stewart index allows the detection of both types of near multicollinearity. However, to the best of our knowledge, there are no established thresholds for this measure from which to consider that the multicollinearity is worrying. This is the main goal of this paper, which presents a Monte Carlo simulation to relate this measure to the condition number. An additional goal of this paper is to extend the Stewart index for its application after the estimation by ridge regression that is widely applied to estimate model with multicollinearity as an alternative to ordinary least squares (OLS). This extension could be also applied to determine the appropriate value for the ridge factor.
Descripción
The registered version of this article, first published in “Computational Statistics 36, 1011–1029 (2021)", is available online at the publisher's website: Elsevier, https://doi.org/10.1007/s00180-020-01047-2
La versión registrada de este artículo, publicado por primera vez en “Computational Statistics 36, 1011–1029 (2021)", está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1007/s00180-020-01047-2
Categorías UNESCO
Palabras clave
Linear regression, multicollinearity, ridge regression, Stewart index
Citación
Sánchez, A.R., Gómez, R.S. & García, C.G. Obtaining a threshold for the stewart index and its extension to ridge regression. Comput Stat 36, 1011–1029 (2021). https://doi.org/10.1007/s00180-020-01047-2
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Facultades y escuelas::Facultad de Ciencias Económicas y Empresariales
Departamento
ECONOMÍA APLICADA E HISTORIA ECONÓMICA