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It is well known that if two linear regression predictors highly correlate, it is bad for our model, but which correlation is considered to be big? Is it 0.5,0.6,0.8,0.9..? I have tried to find out about this on the internet, but I didn't manage to find exact value.

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    High correlation can be a problem. There in not a „exact“ threshold value to judge this. The variance inflation factor is a widely used method to check for (too) high multicollinearity https://datascience.stackexchange.com/a/64415/71442 – Peter Jan 13 '22 at 18:14
  • [I posted an answer on Cross Validated last year](https://stats.stackexchange.com/a/555163/247274) that is likely to be of interest, since I get a sense that you want to drop a variable if you find two to be correlated. – Dave Jan 13 '22 at 21:56

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