vif (multicollinearity), breusch-godfrey (autocorrelation), breusch-pagan (heteroskedasticity)

Hi, we are conducting linear regression.

We performed first the Variance Inflation Factor to check for multicollinearity and we dropped the independent variables below 10

So are ALL of our independent variables supposed to be included in testing the Breusch-Godfrey (autocorrelation test) and Breusch-Pagan (heteroskedasticity test)? Or only those independent variables left (below 10) after performing VIF.

Thank you in advance.

What is the goal of running the regression? For most purposes (not all) dropping independent variables due to the VIF is a mistake.

In any event, usually you want to test for autocorrelation and heteroskedasticity on whatever final specification you are going to use.

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