mctest: An R Package for Detection of Collinearity among Regressors

It is common for linear regression models to be plagued with the problem of multicollinearity when two or more regressors are highly correlated. This problem results in unstable estimates of regression coefficients and causes some serious problems in validation and interpretation of the model. Different diagnostic measures are used to detect multicollinearity among regressors. Many statistical software and R packages provide few diagnostic measures for the judgment of multicollinearity. Most widely used diagnostic measures in these software are: coefficient of determination (R2 ), variance inflation factor/tolerance limit (VIF/TOL), eigenvalues, condition number (CN) and condition index (CI) etc. In this manuscript, we present an R package, mctest, that computes popular and widely used multicollinearity diagnostic measures. The package also indicates which regressors may be the reason of collinearity among regressors.

Muhammad Imdadullah , Muhammad Aslam , Saima Altaf

CRAN packages used

mctest, perturb, HH, car, fmsb, rms, faraway, usdm, VIF, leaps, bestglm, glmulti, meifly

CRAN Task Views implied by cited packages

SocialSciences, Econometrics, ChemPhys, ClinicalTrials, Finance, Multivariate, ReproducibleResearch, Survival


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For attribution, please cite this work as

Imdadullah, et al., "The R Journal: mctest: An R Package for Detection of Collinearity among Regressors", The R Journal, 2016

BibTeX citation

  author = {Imdadullah, Muhammad and Aslam, Muhammad and Altaf, Saima},
  title = {The R Journal: mctest: An R Package for Detection of Collinearity among Regressors},
  journal = {The R Journal},
  year = {2016},
  note = {},
  doi = {10.32614/RJ-2016-062},
  volume = {8},
  issue = {2},
  issn = {2073-4859},
  pages = {495-505}