Multicollinearity among the independent variables in a linear regression model causes the heteroskedasticity-robust standard errors to be large.

Question

Quizplus · Accepted Answer

Multicollinearity among the independent variables in a linear regression model causes the variance of the parameter estimates to be large, which in turn causes the heteroskedasticity-robust standard errors to be large.

Multicollinearity Among the Independent Variables in a Linear Regression Model