Is best subset regression a sign of strong colinierity?

Answer 1

No, best subset regression is not necessarily a sign of strong collinearity. Best subset regression is a statistical method used to find the subset of predictor variables that best predicts the response variable. It considers all possible combinations of predictors and selects the one with the highest coefficient of determination (R-squared).

Collinearity, on the other hand, refers to a high correlation between predictor variables in a regression model. It can lead to unstable estimates of regression coefficients and difficulties in interpreting the individual effects of predictors.

While collinearity can affect the results of any regression analysis, it is not directly related to the use of best subset regression. Best subset regression can be used to explore different combinations of predictors, regardless of whether collinearity is present or not. However, if strong collinearity is detected, it is recommended to address or account for it in the analysis by using techniques such as variance inflation factor (VIF) or ridge regression.