I wonder what cause the correlation between parameter estimates in regression analysis?
Does misspecifacation of model cause such a correlation? Or does multicollinearity cause such a correlation?
In the existence of such correlations between parameter estimates, do we need to search the reason and study on the model to decrease such correlations?
I ask this in the sense of simple regression. But in real, I work with a logit model with categorical dependent variables. And in my situation there is strong correlation between dummy varaible's(in the levels of a categorical variable) parameter estimates.
I will be very glad for any help.Thanks a lot.