Detecting and Assessing the Problems Caused by Multi-Collinearity: A Useof the Singular-Value Decomposition / David A. Belsley, Virginia Klema.

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Belsley, David A

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w0066.Publication details: Cambridge, Mass. National Bureau of Economic Research 1974.Description: 1 online resource: illustrations (black and white)Online resources:

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Abstract: This paper presents a means for detecting the presence of multicollinearity and for assessing the damage that such collinearity may cause estimated coefficients in the standard linear regression model. The means of analysis is the singular value decomposition, a numerical analytic device that directly exposes both the conditioning of the data matrix X and the linear dependencies that may exist among its columns. The same information is employed in the second part of the paper to determine the extent to which each regression coefficient is being adversely affected by each linear relation among the columns of X that lead to its ill conditioning.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w0066 (Browse shelf(Opens below))	Not For Loan

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December 1974.

This paper presents a means for detecting the presence of multicollinearity and for assessing the damage that such collinearity may cause estimated coefficients in the standard linear regression model. The means of analysis is the singular value decomposition, a numerical analytic device that directly exposes both the conditioning of the data matrix X and the linear dependencies that may exist among its columns. The same information is employed in the second part of the paper to determine the extent to which each regression coefficient is being adversely affected by each linear relation among the columns of X that lead to its ill conditioning.