[R] mutlicollinearity and MM-regression

[John Hendrickx]

--- Carsten.Colombier at efv.admin.ch wrote:

> Dear R users,
> 
> Usually the variance-inflation factor, which is based on R^2, is
> used as a
> measure for multicollinearity. But, in contrast to OLS regression
> there is
> no robust R^2 available for MM-regressions in R. Do you know if an
> equivalent or an alternative nmeasure of multicollinearity is
> available for
> MM-regression in R?
> 
I'm not sure what MM-regression is. But I've just put a general
purpose tool for evaluating collinearity on my website. See
http://www.xs4all.nl/~jhckx/R/perturb/

The perturb programs works by adding small random changes
(perturbations) to selected variables. Categorical variables are
randomly misclassified. This process is repeated a specified number
of times, after which the impact of the perturbations on parameter
stability can be evaluated. It should work with any R-procedure that
has a formula.

The package also contains colldiag, for calculating condition indexes
and variance decomposition proportions. Since this only works on the
independent variables, it should work for your problem as well.

Feedback welcomed. I plan to submit the package to CRAN in a few
days, after I get the help files updated