NO.PZ2023040502000025
问题如下：
Given the information in Exhibit 1, Hamilton’s
conclusion that multicollinearity is not a problem, is most likely based on the
observation that the:
选项：
A.correlation between the S&P 500 and SPREAD is low.
model F-value is high and the p-values for the S&P
500 and SPREAD are low.
model R2 is relatively low.
解释：
Multicollinearity occurs when two or more independent
variables (or combinations of independent variables) are highly (but not perfectly)
correlated. Correlation between independent variables may be a reasonable
indication of multicollinearity in cases in which the regression contains only
two independent variables. In Hamilton’s regression model, the correlation
between the SPREAD and the S&P 500 variables is only 0.30.
根据定义法，当F检验通过，但是t检验通不过，R^2特别高的时候，证明存在多重共线性，上述条件不满足任何一个都无法证明多重共线性。
所以是不是A、C也可以作为判断标准？
还是说本题就是不严谨，就想考察相关系数法的判断？
