What is meant by the term "multicollinearity" in multiple linear regression?

  • The dependent variables are correlated with each other
  • The error terms are correlated with each other
  • The independent variables are correlated with each other
  • The residuals are correlated with each other
In multiple linear regression, multicollinearity refers to a situation in which two or more independent variables are highly linearly related. This can cause problems because it can affect the interpretability of the regression coefficients and can make the model unstable.
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