VIF value < 1 when using Generalized Regression within Fit Model

KellyT

Hi, 

 

I noticed from time to time, I get VIF < 1 when fitting data to best subset, lasso or double lasso under Generalized Regression (with normal distribution).  For validation method, I chose BIC for all different models.  When I got the result, I would right click in the "Active Parameter Estimates" -> Column -> VIF.   when I extract the active estimates to fit in a OLS model, the coefficients for the predictors are different and the VIFs were all > 1.  Based on the VIF description in JMP, I built model using the predictor with VIF < 1 as the response and the rest of the variables as predictors, the OLS model showed R2 ~ 0.2 and adjusted R2 between 0.079 - 0.2.  So I am not sure why VIF can be < 1.

 

 

 

 

Thank you so much for your time and help.

Mark_Bailey

Here is a explanation of how VIF can be less than 1. It has to due with the shrinkage (biasing) of the parameter estimates.