方差Inflation分组回归结果的因素检验

Question

我有一个数据框中多个股票的多个财务变量的数据集，例如 ROA、ROE。我运行针对这些变量对每只股票进行回归，但我运行按组进行回归以防止多次调用 lm() 我使用以下代码：

df_fit <- dataset.for.reg %>% group_by(ticker) %>%
  do(fiitedmod = lm(ROA ~ SIZE + LEV + TANG + DPO, data = .))

df_coef <- tidy(df_fit, fiitedmod)

在这种情况下，我没有 class lm 的对象，如何使用 car 包中的 vif() 函数？我别无选择，只能在 lm 上使用循环或多次调用 lm() 吗？

下面的示例数据

mydata <- "num,ticker,ROA,SIZE,LEV,TANG,DPO
1,ARL,1,2,9,2,6
2,ARL,2,3,12,3,6
3,ARL,3,9,7,1,7
4,ARL,4,7,6,4,8
5,ARL,12,5,8,5,10
6,ARL,9,4,11,6,4
7,ARL,11,12,10,7,5
8,ARL,6,6,5,8,9
9,ARL,10,8,4,9,11
10,ARL,5,1,3,10,3
11,ARL,8,11,2,12,2
12,ARL,7,10,1,11,1
13,NHM,22,24,19,23,13
14,NHM,24,19,13,24,16
15,NHM,23,18,14,13,14
16,NHM,20,13,15,14,12
17,NHM,19,15,16,15,15
18,NHM,21,17,17,16,15
19,NHM,17,16,18,17,15
20,NHM,16,14,20,19,15
21,NHM,13,20,21,18,15
22,NHM,15,22,22,20,15
23,NHM,14,21,23,21,15
24,NHM,18,23,24,22,15
25,MUR,36,29,36,33,17
26,MUR,35,28,33,35,18
27,MUR,33,27,30,32,22
28,MUR,26,35,35,30,20
29,MUR,25,25,34,34,20
30,MUR,31,26,31,36,20
31,MUR,34,36,32,31,21
32,MUR,32,30,29,29,21
33,MUR,30,31,28,28,19
34,MUR,27,32,27,26,19
35,MUR,28,34,25,27,21
36,MUR,29,33,26,25,21
37,NED,47,43,48,39,31
38,NED,39,44,47,40,29
39,NED,37,45,46,41,28
40,NED,38,46,45,42,30
41,NED,41,48,44,43,32
42,NED,42,37,43,44,33
43,NED,44,41,42,45,11
44,NED,45,47,41,46,23
45,NED,43,39,40,47,24
46,NED,40,40,39,48,25
47,NED,48,42,37,37,26
48,NED,46,38,38,38,27
49,SHP,53,54,59,50,35
50,SHP,55,55,58,51,36
51,SHP,54,57,57,52,37
52,SHP,51,51,56,53,38
53,SHP,60,59,51,54,39
54,SHP,59,60,54,55,40
55,SHP,58,58,53,57,41
56,SHP,50,49,52,56,43
57,SHP,49,52,49,58,45
58,SHP,57,50,50,59,44
59,SHP,56,56,55,60,42
60,NPK,65,71,61,65,46
61,NPK,62,61,69,63,52
62,NPK,69,64,63,61,51
63,NPK,67,65,60,62,53
64,NPK,72,67,64,64,47
65,NPK,71,68,66,67,48
66,NPK,68,69,70,66,49
67,NPK,66,66,71,70,50
68,NPK,70,63,68,68,53
69,NPK,61,62,67,71,53
70,NPK,63,72,65,72,53
71,NPK,64,70,62,69,53
72,ACL,82,81,73,80,57
73,ACL,81,82,72,74,55
74,ACL,84,79,76,82,54
75,ACL,80,78,74,77,56
76,ACL,74,75,75,76,56
77,ACL,77,76,77,83,56
78,ACL,79,73,78,78,56
79,ACL,73,84,79,84,56
80,ACL,78,74,80,79,56
81,ACL,76,83,81,81,56
82,ACL,75,80,83,75,56
83,ACL,83,77,82,73,56
84,CLS,85,95,87,87,67
85,CLS,86,96,89,89,68
86,CLS,87,85,88,88,52
87,CLS,96,86,94,90,58
88,CLS,95,88,91,91,59
89,CLS,93,87,93,92,60
90,CLS,94,89,95,93,61
91,CLS,91,90,92,94,62
92,CLS,89,91,90,95,63
93,CLS,92,92,86,96,64
94,CLS,90,93,85,85,65
95,CLS,88,94,84,86,66"

dataset.for.reg <- read.table(text = mydata, sep = ",", header = TRUE)

Answer 1

我想我会将答案正式化

lapply(df_fit[[2]],vif)

方差Inflation分组回归结果的因素检验

Variance Inflation Factors test on grouped regression results

r

correlation