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标题: Mock Exam : PM : Q42: Multicollinearity with t-test and F-test [打印本页]

作者: Walex 时间: 2011-7-13 16:51 标题: Mock Exam : PM : Q42: Multicollinearity with t-test and F-test

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 ?

作者: ningning1984 时间: 2011-7-13 16:51

Also a high F stat but low t stats gives a hint you might have it.

作者: bdavi77962 时间: 2011-7-13 16:51

exactly. no formal test, but high F (model significance) and low t stats are a good hint that you might have it

作者: FinancialAnaly 时间: 2011-7-13 16:51

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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