What is a good metric for measuring the level of multicollinearity?
VIF or 1/tolerance is a good measure of measuring multicollinearity in models. VIF is the percentage of the variance of a predictor which remains unaffected by other predictors. So higher the VIF value, greater is the multicollinearity amongst the predictors. A rule of thumb for interpreting the variance inflation factor: 1 = not correlated. Between … Read more