Author: Rashmi Sajwan

How to test time series multicollinearity in STATA?

By Rashmi Sajwan and Saptarshi Basu Roy Choudhury on October 24, 2018 2 Comments

The problem of multicollinearity arises when one explanatory variable in a multiple regression model highly correlates with one or more than one of other explanatory variables. It is a problem because it underestimates the statistical significance of an explanatory variable (Allen, 1997).