Sankhya: The Indian Journal of Statistics

1993, Volume 55, Series B, Pt. 3, 353--371

FINITE SAMPLE PROPERTIES OF A MEASURE OF MULTICOLLINEARITY

By

J. S. MEHTA, Temple University, U.S.A

P. A. V. B. SWAMY, Federal Reserve Board, U. S. A.

And

N. S. IYENGAR, Indian Statistical Institute, Bangalore

 

SUMMARY. This article deals with exact finite sample properties of a summary statistic that is used to measure the effects of multicollinearity on the contributions of regressors to the square of the multiple correlation coefficient of a regression and with the regressors. This statistic measures the "distance" of a cross-product matrix from the diagonal matrix obtained by zeroing its off-diagonal elements and hence is useful in detecting near multicollinearities in regression problems. It can also distinguish between apparent and real multicollinearities with positive probability.

Subject classification. 62J05

FULL PAPER.

This article in Mathematical Reviews.