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relative weight analysis

rampage

Community Member

Joined:

Dec 27, 2012

How can I calculate relative weights to see how independent variables contribute to a multiple regression when there is multicollinearity between the independent variables ?

Thanks,

Marcus

1 REPLY
mfisher

Community Trekker

Joined:

Jun 23, 2011

Use principal components regression.  First, run a principal components on the standardized explanatory variables.  Then, run a least-squares regression using the principal components to predict your y-variable.  As the principal components were caclulated from standardaized varibles, the regression coeffients will be the relative weights.