vif_fun.r

vif_func<-function(in_frame,thresh=10,trace=T,wts=NULL,...){
  
  library(fmsb)
  
  if(any(!'data.frame' %in% class(in_frame))) in_frame<-data.frame(in_frame)
  
  if(is.null(wts))
    wts <- rep(1, ncol(in_frame))
  if(!is.null(wts))
    if(length(wts)!=ncol(in_frame)) stop('length of weights must equal number of variables')
  if(any(wts < 0)) 
    stop('weights must be positive')
  
  names(wts) <- names(in_frame)
  
  #get initial vif value for all comparisons of variables
  vif_init<-NULL
  var_names <- names(in_frame)
  for(val in var_names){
    wt <- wts[val]
    regressors <- var_names[-which(var_names == val)]
    form <- paste(regressors, collapse = '+')
    form_in <- formula(paste(val, '~', form))
    vif_init<-rbind(vif_init, c(val, VIF(lm(form_in, data = in_frame, ...)) / wt))
  }
  vif_max<-max(as.numeric(vif_init[,2]), na.rm = TRUE)

  if(vif_max < thresh){
    if(trace==T){ #print output of each iteration
      prmatrix(vif_init,collab=c('var','vif'),rowlab=rep('',nrow(vif_init)),quote=F)
      cat('\n')
      cat(paste('All variables have VIF < ', thresh,', max VIF ',round(vif_max,2), sep=''),'\n\n')
    }
    return(var_names)
  }
  else{
    
    in_dat<-in_frame
    
    #backwards selection of explanatory variables, stops when all VIF values are below 'thresh'
    while(vif_max >= thresh){
      
      vif_vals<-NULL
      var_names <- names(in_dat)
      
      for(val in var_names){
        wt <- wts[val]
        regressors <- var_names[-which(var_names == val)]
        form <- paste(regressors, collapse = '+')
        form_in <- formula(paste(val, '~', form))
        vif_add<- VIF(lm(form_in, data = in_dat, ...)) / wt
        vif_vals<-rbind(vif_vals,c(val,vif_add))
      }

      max_row<-which(vif_vals[,2] == max(as.numeric(vif_vals[,2]), na.rm = TRUE))[1]
      
      vif_max<-as.numeric(vif_vals[max_row,2])
      
      if(vif_max<thresh) break
      
      if(trace==T){ #print output of each iteration
        prmatrix(vif_vals,collab=c('var','vif'),rowlab=rep('',nrow(vif_vals)),quote=F)
        cat('\n')
        cat('removed: ',vif_vals[max_row,1],vif_max,'\n\n')
        flush.console()
      }
      
      in_dat<-in_dat[,!names(in_dat) %in% vif_vals[max_row,1], drop = F]
      
      if(ncol(in_dat)==1) break
      
    }
    
    return(names(in_dat))
    
  }
  
}