In multiple regression analysis, which of the following is a clue that multicollinearity is present?
A) The value ofis large, indicting a good fit, but the individual t - tests are nonsignificant.
B) The signs of the regression coefficients are contrary to what we would intuitively expect the contributions of those variables would be.
C) A matrix of correlations, generated by computer, shows which predictor variables are highly correlated with each other and with the response variable y.
D) All of these.
E) None of these.

Question

Quizplus · Accepted Answer

Multicollinearity in multiple regression analysis is indicated by all the mentioned clues: a large R-squared value with nonsignificant t-tests for individual predictors suggests that while the model as a whole explains a significant portion of the variance, the individual predictors are not statistically significant, possibly due to multicollinearity. Unexpected signs of regression coefficients can indicate that the predictors are related in a way that distorts their individual contributions. Lastly, a correlation matrix showing high correlations among predictors is a direct indicator of multicollinearity.

In Multiple Regression Analysis, Which of the Following Is a Clue