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relative weight analysis

Dec 27, 2012 8:38 AM
(2050 views)

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 1

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Re: relative weight analysis

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.