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刘杨 · 2023年08月26日

关于VIF

  1. CFA II
  2. Quantitative

NO.PZ2023040502000025

问题如下：

Given the information in Exhibit 1, Hamilton’s conclusion that multicollinearity is not a problem, is most likely based on the observation that the:


选项：

A.

correlation between the S&P 500 and SPREAD is low.

B.

model F-value is high and the p-values for the S&P 500 and SPREAD are low.

C.

model R2 is relatively low.

解释：

Multicollinearity occurs when two or more independent variables (or combinations of independent variables) are highly (but not perfectly) correlated. Correlation between independent variables may be a reasonable indication of multicollinearity in cases in which the regression contains only two independent variables. In Hamilton’s regression model, the correlation between the SPREAD and the S&P 500 variables is only 0.30.

R-square小，VIF小，小的VIF没有多重共线性啊。。。

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1 个答案

星星_品职助教 · 2023年08月27日

同学你好，

R-squared没有具体数值，无法确认由此计算出来的VIF是否足够大。

而correlation有明确的比较小的数值，可直接判定无多重共线性，是更优的选择。

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2024-06-20 08:39 1 · 回答

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2023-05-01 00:38 1 · 回答