Which of the following statements describes the consequences of collinearity in a model?
A) The value of the Variance Inflation Factor will be high.
B) An estimated coefficient may have an unexpected sign or size.
C) The F-statistic for the model may indicate overall significance, but most or all of the individual coefficients have t-statistics showing insignificance.
D) Collinearity occurs when two or more predictor variables are correlated.
E) All of the above are correct.

Question

Quizplus · Accepted Answer

Collinearity in a model can result in all of the consequences listed, including high values of the Variance Inflation Factor, estimated coefficients that have unexpected signs or sizes, and a situation where the F-statistic for the model indicates overall significance, but most or all of the individual coefficients have t-statistics showing insignificance. Additionally, collinearity is defined as a situation where two or more predictor variables are correlated.

Which of the Following Statements Describes the Consequences of Collinearity