I am using the function variance_inflation_factor from statsmodels.stats.outliers_influence for calculating VIF. My questions are, Should we consider the constant (added with add_constant, as statsmodels doesn't add constant by default) while calculating VIF? What does a very high value of a VIF of constant suggest . My constant (or intercept) has a VIF of 70-100. Should we drop the constant (or intercept) if the VIF is high but it is significant (i.e. p-value is low) ? Note : All my variables are min maxed scaled except the categorical variables and the dependent variable.

Hi Abhishek, Thanks for reaching out. Conceptually it doesn't matter if we add or remove the constant from the VIF calculation. Overall it doesn't make a difference for the model, because the constant is not a predictor. A constant has irrational VIF values as it is not supposed to be calculated/factored. No, you should not drop the constant. You should simply disregard the VIF result you get for the constant. Best, The 365 Team

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Abhishek Chakraborty

Last answered:

September 01, 2020

Posted on:

August 28, 2020

variance_inflation_factor for constants

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365 Team

Posted on:

September 01, 2020

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