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Data 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:

E

Euribor (dependent variable, in percentage).

cte

Intercept.

HIPC

Harmonized index of consumer prices (in percentage).

BC

Balance of payments to net current account (millions of euros).

GD

Goverment deficit to net nonfinancial accounts (millions of euros).

Details

This dataset is originally used by Salmerón, Rodríguez and García (2020).

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