关于多重共线性的三个知识点的准确表述

The Accurate Expression of Three Knowledge Points about Multicollinearity

本文对多重共线性的两方面影响作了较准确的表述:一方面影响是“参数的最小二乘估计值的经济意义不合理的可能性较大”,另一方面影响是“在做解释变量的显著性检验时犯第二类错误的概率很可能较大”;减轻多重共线性影响的一种方法的较准确表述是,剔除相关变量有可能减小保留变量系数的最小二乘估计量的方差.

This paper makes a more accurate statement as to the effects of multicollinearity on two aspects:one effect is that“it is more likely for the least squares estimate value of the parameter is to be economically unjustified.”and the other is“it is more likely for the type II error rate to make a significant test of explanatory variables.”A more accurate formulation of the method to alleviate the effects of multicollinearity is that the elimination of the relevant variables possibly decreases the variance for the least squares estimator of the retained variable coefficients.