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I have a multiple regression model with moderate multicollinearity (VIFs <= 3.2). One of the coefficients is significant at the 10% level. Does this mean that despite of the variance inflation, I can still conclude that this coefficient is significant? I am asking because due to the fact that multicollinearity increases variance, and that the p-value is still significant, without multicollinearity it should be even more significant, no?

Or does multicollinearity not allow for any kind of interpretation like that?

Thanks a million!

MarcoMarss
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  • Welcome to CV. Have a look [here](https://stats.stackexchange.com/a/32625/176202). You really should not be looking at $p$-values in the presence of colinearity. That said, there will always be weak colinearity when adding multiple variables. Maybe try assessing the severity with a better measure: the condition number. – Frans Rodenburg Jul 16 '19 at 01:35
  • Related: https://stats.stackexchange.com/q/4099/176202 – Frans Rodenburg Jul 16 '19 at 01:36

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