Trying to Trick Linear Regression - Estimating Coefficients for Variables in R
In this post we will try to trick linear regression into thinking that a redundant variable is statistically significant. By redundant, I mean a candidate predictor variable that in reality is just noise (no effect on the outcome) but that we might include in an experiment because we don’t know if it is important or not. The trick is that we can set up the data generating process such that a redundant variable is highly correlated with the response.