variance inflation factor

Dear Toni,

-----Original Message-----
From: Toni Hernandez-Matias [mailto:ahmatias at gmail.com]
Sent: Thursday, February 22, 2018 10:01 AM
To: Fox, John <jfox at mcmaster.ca>
Cc: r-sig-mixed-models at r-project.org
Subject: Re: [R-sig-ME] variance inflation factor

Dear John,

Thank you very much for your message.

Did you know a bibliographic reference for this method, specifically in

the case

of generalized linear mixed models?

Sorry, I don't, but don't see why the general idea wouldn't apply here (as
Ben mentioned in his response). By the way, the more general vif() function
in the car package works for lme() in nlme but not for lmer() or glmer() in
lme4 (because the result returned by vcov() for a "merMod" object isn't of
class "matrix"). We should probably make it work.

Best,
 John

Thank you again,

Antonio

On Thu, Feb 22, 2018 at 3:51 PM, Fox, John <jfox at mcmaster.ca
<mailto:jfox at mcmaster.ca> > wrote:


      Dear Toni,

      Yes, that looks reasonable, although I'm not sure why it's

necessary to

test for more than one fixed-effect intercept at the beginning of the

fixed-effect

coefficient vector and how an intercept could be named "Intercept"

rather than

"(Intercept)". Assuming that there's a reason that escapes me, here's a

simplified

version:

      vif.lme <- function (fit) {
        ## adapted from rms::vif
        v <- vcov(fit)
        nam <- names(fixef(fit))
        ## exclude intercepts
        ns <- sum(nam == "Intercept" | nam == "(Intercept)")
        if (ns > 0) v <- v[-(1:ns), -(1:ns), drop = FALSE]
        diag(solve(cov2cor(v)))
      }

      I hope this helps,
       John


      -----------------------------
      John Fox, Professor Emeritus
      McMaster University
      Hamilton, Ontario, Canada
      Web: socialsciences.mcmaster.ca/jfox/
<http://socialsciences.mcmaster.ca/jfox/>

      > -----Original Message-----
      > From: R-sig-mixed-models [mailto:r-sig-mixed-models-bounces at r-

<mailto:r-sig-mixed-models-bounces at r->

      > project.org <http://project.org> ] On Behalf Of Toni Hernandez-

Matias

      > Sent: Thursday, February 22, 2018 7:28 AM
      > To: r-sig-mixed-models at r-project.org <mailto:

r-sig-mixed-models at r-

project.org>

      > Subject: [R-sig-ME] variance inflation factor
      >
      > Dear all,
      >
      > Could some help me to calculate Variance Inflation Factors of

models

fitted

      > with glmer and lmer ?
      >
      > I found the method I copy below but I am not sure it is correct:
      >
      > vif.lme <- function (fit) {
      >      ## adapted from rms::vif
      >      v <- vcov(fit)
      >      nam <- names(fixef(fit))
      >      ## exclude intercepts
      >      ns <- sum(1 * (nam == "Intercept" | nam == "(Intercept)"))
      >      if (ns > 0) {
      >          v <- v[-(1:ns), -(1:ns), drop = FALSE]
      >          nam <- nam[-(1:ns)] }
      >      d <- diag(v)^0.5
      >      v <- diag(solve(v/(d %o% d)))
      >      names(v) <- nam
      >      v }
      >
      >
      >
      > ##la estimamos para el modelo 1
      >
      > vif.lme(mod1)
      >
      >
      > Thank you very much in advance,
      >
      > Antonio
      >
      >
      > --