Statistics Dictionary

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In regression, multicollinearity refers to the extent to which independent variables are correlated. Multicollinearity exists when:

  • One independent variable is correlated with another independent variable.
  • One independent variable is correlated with a linear combination of two or more independent variables.

As part of regression analysis, researchers examine regression coefficients to assess the relative influence of independent variables. They look at the magnitude of coefficients, and they test the statistical significance of coefficients. These tests make sense when multicollinearity is small; but when multicollinearity is big, the tests can be misleading.

See also:  Multicollinearity and Regression Analysis