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dmar

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tT
发表于 2013-4-11 17:17 | 只看该作者

Mock Exam : PM : Q42: Multicollinearity with t-test and F-te

test, between, giving, reason
Okay the F test declares significance and the IDVs’ T-tests p-values prove the significance of each IDV as well.
Yet, correlation between variables is the reason to rule out Multicollinearity.
So WHAT is the true test to rule out Multicollinearity ?
F test & test comparisons giving results of significance in consonance.
or Low Correlation between the IDVs ?
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chetan86

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发表于 2013-4-11 17:22 | 只看该作者
There isn’t a “test” for Multicollinearity to my knowledge in the same way as a DW or Breutsche Pagen (sic).
Just look for high R squared and insignificant t test.

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transferpricing

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3#
发表于 2013-4-11 17:30 | 只看该作者
exactly. no formal test, but high F (model significance) and low t stats are a good hint that you might have it

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Daniel1985

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发表于 2013-4-11 17:34 | 只看该作者
Also, as what we saw on one of the samples/mocks, think about the definition of multicollinearity, which is correlation of the independent variables.
the vignette may say something about the correlation, but not actually show us R^2

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