Question

linear stat modeling & regression

1) Consider n data points with 3 covariates and observations {xn, ^i2, xi3,yid; i,,n, and you fit the following model, y Bi+Br2+Br+e that is yi A) +Ari,1 +Ari,2 +Buri,3 + єї where є,'s are independent normal distribution with mean zero and variance ơ2 . H the vectors of (Y1, . . . ,Yn). Assume the covariates are centered: Σίχί,,-0, k = 1,2,3. ere, n = 50, Let L are Assume, X'X is a diagonal matrix with diagonal elements, (X'X)u.i) a) Find out the Variance inflation factor of each of the B,'s. (Variance inflation factor of β¡ is given by VIF,- Ry where R, is the j1-R multiple correlation coefficient for regressing j th covariate on the rest of the covariates and var(B,) MSE (n-1)Var(Xj) x1/IF, ) =

Answer 1

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