Two-predictor variance inflation
= Two-predictor variance inflation
{title2=$1/(1-\rho^2)$}
For two centered predictors with squared norms $n$ and <correlation coefficient> $\rho$, the <ordinary least squares> estimate of either partial slope has <variance> $\sigma^2/[n(1-\rho^2)]$. Compared with the same predictor alone and the same error variance, the inflation factor is $1/(1-\rho^2)$. The <eigenvalues> of the slope <Gram matrix> are $n(1+\rho)$ and $n(1-\rho)$.