0 votes
in Data Analytics by

Do we remove intercepts while calculating VIF?

1 Answer

0 votes
by
No. VIF depends on the intercept because there is an intercept in the regression used to determine VIF. If the intercept is removed, R-square is not meaningful because it may be negative in which case one can get VIF < 1, implying that the standard error of a variable would go up if that independent variable were uncorrelated with the other predictors.
...