Is it possible that multicollinearity can force a correlation that
does not exist?
I have a very large sample of n=5,000
and have found that
disease= exposure + exposure + exposure + exposure R^2=0.45
where all 4 exposures are the exact same exposure in different units
like ug/dL or mg/dL or molar units.
Nonetheless when I do a simple correlation (pearson) I found that the
exposure in ug/dL did not affect the disease.
This seems hard to believe as my sample is relatively large..
I don't believe the 0.45 R^2 is possible but was shocked by it. I'll
try to rerun it in other, more realistic models.
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