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标题: multicollinearity impact [打印本页]

作者: Rachelpeng    时间: 2016-8-30 22:29     标题: multicollinearity impact

16年QBank-02 Multiple Regression and Issues in Regression Analysis 1中关于Multicollinearity有两道题答案,在我看来互相矛盾的。
Q85:Multicollinearity is a violation of regression assumptions that may affect consistency of estimates of slope coefficients and possibly lead to estimates having the opposite sign to that expected. Heteroskedasticity and serial correlation do not affect consistency of coefficient estimates.
Q98: Neither multicollinearity not serial correlation affects the consistency (i.e. make them biased) of regression coefficients. Multicollinearity can however make the regression coefficients unreliable. Both multicollinearity and serial correlation biases the standard errors of the slope coefficients.

很迷茫,到底multicollinearity是否影响consistency of coefficient estimates? 谢谢解释




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