NO.PZ2023040502000025
问题如下:
Given the information in Exhibit 1, Hamilton’s
conclusion that multicollinearity is not a problem, is most likely based on the
observation that the:
选项:
A.correlation between the S&P 500 and SPREAD is low.
model F-value is high and the p-values for the S&P
500 and SPREAD are low.
model R2 is relatively low.
解释:
Multicollinearity occurs when two or more independent
variables (or combinations of independent variables) are highly (but not perfectly)
correlated. Correlation between independent variables may be a reasonable
indication of multicollinearity in cases in which the regression contains only
two independent variables. In Hamilton’s regression model, the correlation
between the SPREAD and the S&P 500 variables is only 0.30.
根据定义法,当F检验通过,但是t检验通不过,R^2特别高的时候,证明存在多重共线性,上述条件不满足任何一个都无法证明多重共线性。
所以是不是A、C也可以作为判断标准?
还是说本题就是不严谨,就想考察相关系数法的判断?