/*
** Lesson 5.3: Variance Inflation Factors (VIF)
*/
use gpe2;
output file = gpe\output5.3 reset;
load data[17,7] = gpe\longley.txt;
data = data[2:17,.];
year = data[.,1];
pgnp = data[.,2];
gnp = data[.,3];
af = data[.,5];               
em = data[.,7];
call reset;
print "Aux Regression 1: YEAR = PGNP GNP AF";
y = year;
x = pgnp~gnp~af;
_names = {"year","pgnp","gnp","af"};
call estimate(y,x);
r2x1 = __r2;
print "Aux Regression 2: PGNP = YEAR GNP AF";
y = pgnp;
x = year~gnp~af;
_names = {"pgnp","year","gnp","af"};
call estimate(y,x);
r2x2 = __r2;
print "Aux Regression 3: GNP = YEAR PGNP AF";
y = gnp;
x = year~pgnp~af;
_names = {"gnp","year","pgnp","af"};
call estimate(y,x);
r2x3 = __r2;
print "Aux Regression 4: AF = YEAR GNP PGNP";
y = af;
x = year~gnp~pgnp;
_names = {"af","year","gnp","pgnp"};
call estimate(y,x);
r2x4 = __r2;
r2=r2x1|r2x2|r2x3|r2x4;
print "Variance Inflation Factors:";
print "       Model     R-Square          VIF";;
print seqa(1,1,4)~r2~(1/(1-r2));
end;