Skip to content

How do you detect Multicollinearity?

May 28, 2016

The classic symptom of multicollinearity is a high R^2 and a significant F-Statistic even though the t-statistics of the estimated slope coefficients are not significant.

This results in overly large standard errors and t-statistics too small.

Advertisements

From → Quant

Leave a Comment

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.

%d bloggers like this: