When an additional independent variable is added to a regression analysis, which

Question

When an additional independent variable is added to a regression analysis, which of the following could be indications of multicollinear independent variables?

E) A drop in R-squared and a drop in significance for one or more independent variable.

F) A drop in adjusted R-squared and an increase in significance for one or more independent variable.

G) An increase in adjusted R-squared and an increase in significance for one or more independent variable.

H) An increase in adjusted R-squared and a drop in significance for one or more independent variable

Explanation / Answer

Answer: H

That is, an increase in adjusted R-squared and a drop in significance for one or more independent variable.

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