Tuesday, November 06, 2012

Multicollinearity madness

My independent variables are highly correlated
And coefficient standard errors consequently are inflated
The estimates' significance are downright understated
These results are making me totally frustrated

The R squared is high
But the t stats are all low
The reason for this we all know
It's multicollinearity madness
I've got multicollinearity madness

I guess I'll just have to wait 'til later
See if I can get a bit more data

Factor analysis is not my style
And ridge regressions are not worthwhile
There are no restrictions that I can use
Or regressors in the model that I could lose

The VIF is far too high
The tolerance is far to low
The reason for this we all know
It's multicollinearity madness
I've got multicollinearity madness

I guess I'll just have to wait 'til later
See if I can get a bit more data

2 Comments:

Blogger Arvind said...

SUperb

9:05 AM  
Blogger Blue sword said...

http://www.nobelprize.org/nobel_prizes/literature/

9:47 PM  

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