2

After reading this answer, I am not very clear on how to get to the formula of VIF ($1/1-R^2$) as part of the variances on the diagonals of the variance-covariance matrix of the coefficients, if auto correlation exists.

How is the VIF formula derived? Thanks.

iwbabn
  • 291
  • 1
  • 2
  • 9

0 Answers0