The 365 Data Science team is proud to invite you to our own community forum. A very well built system to support your queries, questions and give the chance to show your knowledge and help others in their path of becoming Data Science specialists.
Ask
Anybody can ask a question
Answer
Anybody can answer
Vote
The best answers are voted up and moderated by our team

variance_inflation_factor for constants

Back to all questions

variance_inflation_factor for constants

3 weeks ago
Vote Up Vote Down
0
Votes
1
Answer

I am using the function variance_inflation_factor from statsmodels.stats.outliers_influence for calculating VIF. My questions are,
 

  1. Should we consider the constant (added with add_constant, as statsmodels doesn’t add constant by default) while calculating VIF?
  2. What does a very high value of a VIF of constant suggest . My constant (or intercept) has a VIF of 70-100.
  3. 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.

#, #, #
1 Answer

365 Team 3 weeks ago
Vote Up Vote Down
0
Votes

Hi Abhishek,
Thanks for reaching out.

  1. 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.
  2. A constant has irrational VIF values as it is not supposed to be calculated/factored.
  3. No, you should not drop the constant. You should simply disregard the VIF result you get for the constant.

Best,
The 365 Team

You must to answer this question.

Not the answer you are looking for? Browse other questions tagged #, #, #.

×
Ready to Learn
Data Science?
50% OFF