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广超 · 2024年08月15日

遗漏变量会带来系数的bias?

NO.PZ2015120204000018

问题如下:

If an omitted variable is correlated with variables already included in the model, coefficient estimates will be biased and inconsistent and standard errors will also be inconsistent. Is this Statement correct?

选项:

A.

Yes.

B.

No, because the model’s coefficient estimates will be unbiased.

C.

No, because the model’s coefficient estimates will be consistent.

解释:

A is correct.

Chang is correct because a correlated omitted variable will result in biased and inconsistent parameter estimates and inconsistent standard errors.  

遗漏变量带来的结果不是异方差和自相关么?这两个问题都是不影响系数的啊?而且老师课上也说遗漏变量主要是影响残差项,和系数有什么关系?

1 个答案

品职助教_七七 · 2024年08月16日

嗨,从没放弃的小努力你好:


被遗漏的变量放在残差里。由于这个遗漏变量是“...is correlated with variables already included in the model”。这就使得方程里现有的变量和残差项产生了关系,违背回归假设,这种情况会影响系数的估计。

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