Some new diagnostics of multicollinearity in linear regression model
The problem of multicollinearity compromises the numerical stability of the regression coefficient estimate and cause some serious problem in validation and interpretation of the model. In this paper, we propose two new collinearity diagnostics for the detection of collinearity among regressors, bas...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2019
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| Online Access: | http://journalarticle.ukm.my/14359/ http://journalarticle.ukm.my/14359/1/26%20Muhammad%20Imdad%20Ullah.pdf |
| _version_ | 1848813531872362496 |
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| author | Ullah, Muhammad Imdad Aslam, Muhammad Altaf, Saima Ahmed, Munir |
| author_facet | Ullah, Muhammad Imdad Aslam, Muhammad Altaf, Saima Ahmed, Munir |
| author_sort | Ullah, Muhammad Imdad |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | The problem of multicollinearity compromises the numerical stability of the regression coefficient estimate and cause some serious problem in validation and interpretation of the model. In this paper, we propose two new collinearity diagnostics for the detection of collinearity among regressors, based on coefficient of determination and adjusted coefficient of determination from auxiliary regression of regressors. A Monte Carlo simulation study has been conducted to compare the existing and proposed collinearity diagnostic tests. Comparison of diagnostics on some existing collinear data are also made. |
| first_indexed | 2025-11-15T00:19:41Z |
| format | Article |
| id | oai:generic.eprints.org:14359 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:19:41Z |
| publishDate | 2019 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:143592020-03-03T08:18:38Z http://journalarticle.ukm.my/14359/ Some new diagnostics of multicollinearity in linear regression model Ullah, Muhammad Imdad Aslam, Muhammad Altaf, Saima Ahmed, Munir The problem of multicollinearity compromises the numerical stability of the regression coefficient estimate and cause some serious problem in validation and interpretation of the model. In this paper, we propose two new collinearity diagnostics for the detection of collinearity among regressors, based on coefficient of determination and adjusted coefficient of determination from auxiliary regression of regressors. A Monte Carlo simulation study has been conducted to compare the existing and proposed collinearity diagnostic tests. Comparison of diagnostics on some existing collinear data are also made. Penerbit Universiti Kebangsaan Malaysia 2019-09 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/14359/1/26%20Muhammad%20Imdad%20Ullah.pdf Ullah, Muhammad Imdad and Aslam, Muhammad and Altaf, Saima and Ahmed, Munir (2019) Some new diagnostics of multicollinearity in linear regression model. Sains Malaysiana, 48 (9). pp. 2051-2060. ISSN 0126-6039 http://www.ukm.my/jsm/malay_journals/jilid48bil9_2019/KandunganJilid48Bil9_2019.html |
| spellingShingle | Ullah, Muhammad Imdad Aslam, Muhammad Altaf, Saima Ahmed, Munir Some new diagnostics of multicollinearity in linear regression model |
| title | Some new diagnostics of multicollinearity in linear regression model |
| title_full | Some new diagnostics of multicollinearity in linear regression model |
| title_fullStr | Some new diagnostics of multicollinearity in linear regression model |
| title_full_unstemmed | Some new diagnostics of multicollinearity in linear regression model |
| title_short | Some new diagnostics of multicollinearity in linear regression model |
| title_sort | some new diagnostics of multicollinearity in linear regression model |
| url | http://journalarticle.ukm.my/14359/ http://journalarticle.ukm.my/14359/ http://journalarticle.ukm.my/14359/1/26%20Muhammad%20Imdad%20Ullah.pdf |