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Questions › DSE › DSE 2012 › Q10
1 markEconometrics › Classical assumptions and their violations › MulticollinearityModerateabout 2 min

DSE 2012 Question 10: Classical assumptions and their violations

Which of the following statements is not an indicator that multicollinearity among two or more variables is present in a multiple regression model estimated using OLS:

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Which of the following statements is not an indicator that multicollinearity among two or more variables is present in a multiple regression model estimated using OLS: (A) Small changes to the data can cause large changes to estimated coefficients (B) Coefficients are estimated with bias (C) The estimated coefficients have large standard errors even though the R² is high (D) A test of joint significance of two or more coefficients is significant even though individually they are not significant

Classical assumptions and their violations has come up 26 times in 7 exams since 2011.

What this question tests

This question is on Multicollinearity, part of Classical assumptions and their violations in Econometrics.

Highly correlated regressors: symptoms, consequences and the perfect case.

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Question from the DSE 2012 paper. Solutions are TestStop's own. Not affiliated with or endorsed by any examination authority.