Multicollinearity does not affect the F-test of the analysis of variance.

Question

Quizplus · Accepted Answer

Multicollinearity does not affect the F-test of the analysis of variance. The F-test is a test of overall significance and tests whether the model as a whole fits the data significantly better than a simple intercept-only model. It is unaffected by the presence of multicollinearity among the individual predictors in the model. However, multicollinearity can still affect other aspects of the analysis, such as the estimation of individual regression coefficients and their standard errors.

Multicollinearity Does Not Affect the F-Test of the Analysis of Variance