When students run their first ordinary least squares (OLS) regression, the first problem that they usually encounter is that of multicollinearity. Many of them conclude that there is something wrong with OLS; some resort to new and often creative techniques to get around the problem. But, we tell them, this is wrong. Multicollinearity is Gods’ will, not a problem with OLS or statistical technique in general.
——Blanchard, O.J., Comment, Journal of Business and Economic Statistics, vol.5, 1967:449-451. The quote is reproduced from Peter Kennedy, A Guide to Econometrics, 4th ed., MIT Press, Cambridge, Mass., 1998:190.