What are the practical consequences of multicollinearity in CLRM?
(A) R2, the overall measure of grodness of fit can be very high
(B) OLS estimators are not BLUE
(C) OLS estimators have small variance and covariances
(D) t ratio of one or more coefficients is statistically insignificant
(E) The OLS estimators and their standard errors can be sensitive to small changes in the data
Choose the correct answer from the options given below:
1
(A), (B) and (C) only
2
(A), (B) and (D) only
3
(B), (D), and (E)
4
(B), (C) and (E) only