Average group effect of strongly correlated predictor variables is estimable
Statistics Theory
2022-10-04 v2 Statistics Theory
Abstract
It is well known that individual parameters of strongly correlated predictor variables in a linear model cannot be accurately estimated by the least squares regression due to multicollinearity generated by such variables. Surprisingly, an average of these parameters can be extremely accurately estimated. We find this average and briefly discuss its applications in the least squares regression.
Cite
@article{arxiv.1810.09564,
title = {Average group effect of strongly correlated predictor variables is estimable},
author = {Min Tsao},
journal= {arXiv preprint arXiv:1810.09564},
year = {2022}
}
Comments
I would like to withdraw this paper because results of this paper have been improved and included in a larger paper posted on arXiv (1804.02499). This paper is out of date. It should no longer be a stand-alone paper in the literature