In the context of multiple linear regression, __________ refers to the phenomenon where the coefficients estimate becomes highly sensitive to changes in the model.
- Autocorrelation
- Heteroscedasticity
- Multicollinearity
- Overfitting
Multicollinearity refers to the situation in multiple linear regression where the predictor variables are highly correlated. This can lead to unstable estimates of the coefficients which can change erratically in response to small changes in the model.
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