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.
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.
The 365 Team