In a regression model with two predictors, the correlation between the two predi

Question

In a regression model with two predictors, the correlation between the two predictors is 0.96. Among the following, select what can happen. The variance inflaction factors are high. The columns of the design matrix X are linearly dependent, and there are infinitely many solutions to the normal equations. The p-values of the t-test for the coefficients 1 and 2 are both very small, even if the predictors are irrelevant. The estimated coefficient, and have opposite sign from what we can expect based on the correlation between each predictor and the response.

Explanation / Answer

If the two predictors have high correlation then multicollinearity exist.

It can happen because of high variance inflation factor (VIF)

Answer is A ... The variance inflation factors are high.

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