Euribor data
euribor.RdData used in example 1 of Salmerón, García and García (2024) (subsection 4.1) on Euribor data.
Usage
data("euribor")Format
A data frame with 47 observations on the following 5 variables:
EEuribor (dependent variable, in percentage).
cteIntercept.
HIPCHarmonized index of consumer prices (in percentage).
BCBalance of payments to net current account (millions of euros).
GDGoverment deficit to net nonfinancial accounts (millions of euros).
References
Salmerón, R., Rodríguez, A. and García, C.B. (2020). Diagnosis and quantification of the non-essential collinearity. Computational Statistics, 35(2), 647-666, doi: https://doi.org/10.1007/s00180-019-00922-x.
Salmerón, R., García, C.B. and García, J. (2025). A redefined Variance Inflation Factor: overcoming the limitations of the Variance Inflation Factor. Computational Economics, 65, 337-363, doi: https://doi.org/10.1007/s10614-024-10575-8.
Examples
head(euribor, n=5)
#> E cte HIPC BC GD
#> 1 3.63 1 92.92 17211 -51384.0
#> 2 3.90 1 93.85 2724 -49567.1
#> 3 3.45 1 93.93 17232 -52128.4
#> 4 3.01 1 94.41 9577 -53593.3
#> 5 2.54 1 95.08 4117 -65480.0
y = euribor[,1]
x = euribor[,2:5]
multicollinearity(y, x)
#> RVIFs c0 c3 Scenario Affects
#> 1 5.325408e+00 1.575871e+01 2.166907e-02 a.1 No
#> 2 5.357830e-04 3.219456e-06 4.249359e-05 b.1 Yes
#> 3 5.109564e-11 1.098649e-09 2.586237e-12 a.1 No
#> 4 1.631439e-11 3.216522e-10 8.274760e-13 a.1 No