Where's Waldo? Visualizing Collinearity Diagnostics

Michael Friendly Michael Friendly is Professor, Psychology Department, York University, Toronto, Ontario, M3J 1P3 Canada . Ernest Kwan is Assistant Professor, Sprott School of Business, Carleton University . This work is supported by grant 8150 from the National Sciences and Engineering Research Council of Canada. We are grateful to John Fox for comments on an initial draft and to the referees for helping us to clarify the presentation.

Ernest Kwan Michael Friendly is Professor, Psychology Department, York University, Toronto, Ontario, M3J 1P3 Canada . Ernest Kwan is Assistant Professor, Sprott School of Business, Carleton University . This work is supported by grant 8150 from the National Sciences and Engineering Research Council of Canada. We are grateful to John Fox for comments on an initial draft and to the referees for helping us to clarify the presentation.

Abstract

Collinearity diagnostics are widely used, but the typical tabular output used in almost all software makes it hard to tell what to look for and how to understand the results. We describe a simple improvement to the standard tabular display, a graphic rendition of the salient information as a which is simultaneously a biplot of the smallest dimensions of the correlation matrix of the predictors, R_XX, and the largest dimensions of R^–1_xx, on which the standard collinearity diagnostics are based.

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