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Multicollinearity and misleading statistical results
Korean Journal of Anesthesiology, 2019, 72(6), , pp.558-569
[Peer Reviewed Journal]
Copyright © The Korean Society of Anesthesiologists, 2019 2019 ;ISSN: 2005-6419 ;EISSN: 2005-7563 ;DOI: 10.4097/kja.19087 ;PMID: 31304696
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Title:
Multicollinearity and misleading statistical results
Author:
Kim, Jong Hae
Subjects:
biomedical research
;
biostatistics
;
multivariable analysis
;
regression
;
statistical bias
;
statistical data analysis
;
Statistical Round
;
마취과학
Is Part Of:
Korean Journal of Anesthesiology, 2019, 72(6), , pp.558-569
Description:
Multicollinearity represents a high degree of linear intercorrelation between explanatory variables in a multiple regression model and leads to incorrect results of regression analyses. Diagnostic tools of multicollinearity include the variance inflation factor (VIF), condition index and condition number, and variance decomposition proportion (VDP). The multicollinearity can be expressed by the coefficient of determination (Rh2) of a multiple regression model with one explanatory variable (Xh) as the model's response variable and the others (Xi [i ≠ h]) as its explanatory variables. The variance (σh2) of the regression coefficients constituting the final regression model are proportional to the VIF. Hence, an increase in Rh2 (strong multicollinearity) increases σh2. The larger σh2 produces unreliable probability values and confidence intervals of the regression coefficients. The square root of the ratio of the maximum eigenvalue to each eigenvalue from the correlation matrix of standardized explanatory variables is referred to as the condition index. The condition number is the maximum condition index. Multicollinearity is present when the VIF is higher than 5 to 10 or the condition indices are higher than 10 to 30. However, they cannot indicate multicollinear explanatory variables. VDPs obtained from the eigenvectors can identify the multicollinear variables by showing the extent of the inflation of σh2 according to each condition index. When two or more VDPs, which correspond to a common condition index higher than 10 to 30, are higher than 0.8 to 0.9, their associated explanatory variables are multicollinear. Excluding multicollinear explanatory variables leads to statistically stable multiple regression models.
Publisher:
Korea (South): Korean Society of Anesthesiologists
Language:
English
Identifier:
ISSN: 2005-6419
EISSN: 2005-7563
DOI: 10.4097/kja.19087
PMID: 31304696
Source:
KoreaMed Synapse(OpenAccess)
PubMed Central
KoreaMed Open Access
DOAJ Directory of Open Access Journals
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