NO.PZ2020010801000036
问题如下:
In a model with two explanatory variables, , what does the correlation need to be between the two regressors, X1 and X2, for the variance inflation factor to be above 10?
选项:
解释:
The variance inflation factor is , where measures how well variable j is explained by the other variables in the model. Here there are two variables, and so . The variance inflation factor of 10 solves , so that or .
Correlations greater than (in absolute value) would produce values above 10.
在课程中讲到,在多元回归方程中,R SQUARE等于CORRELATION 的平方是不成立的,这是多元和一元回归的一个区别。因此,在本题目中,对于CORRELATION 没有任何思路,只计算出一个0.9,然后再也无法继续下去了。还麻烦请详细讲讲 R SQUARE 到底是否等于 CORRELATION 的平方,非常感谢!