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RE: st: Multicollinearity in a simple Poisson model
> -----Original Message-----
> From: firstname.lastname@example.org [mailto:owner-
> email@example.com] On Behalf Of ALICE DOBSON
> Sent: Monday, September 26, 2005 4:45 AM
> To: firstname.lastname@example.org
> Subject: Re: st: Multicollinearity in a simple Poisson model
> Because multicollinearity may influence the least squares estimates.
This is that true (though what you mean by influence is unclear). Except
for an exact linear relationship between the independent variables OLS is
still BLUE in the presence of multicollinearity.
As Goldberger (1991, p. 252) points out, "To say that 'standard errors are
inflated by multicollinearity' is to suggest that they are artificially, or
spuriously, large. But in fact they are appropriately large: the coefficient
estimates actually would vary a lot from sample to sample. This may be
regrettable but it is not spurious."
Goldberger, A.S. 1991. A Course in Econometrics. Harvard University Press:
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