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On Identifying Influential Observations in the Presence of Multicollinearity

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Document pages: 13 pages

Abstract: Influential observation is one which either individually or together withseveral other observations has a demonstrably large impact on the values ofvarious estimates of regression coefficient. It has been suggested by someauthors that multicollinearity should be controlled before attempting tomeasure influence of data point. In using ridge regression to mitigate theeffect of multicollinearity, there arises a problem of choosing possible ofridge parameter that guarantees stable regression coefficients in theregression model. This paper seeks to check whether the choice of ridgeparameter estimator influences the identified influential data points.

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