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肥橘正在考三级 · 2019年05月25日

问一道题:NO.PZ2015120204000018 [ CFA II ]

遗失一个变量,是不是会产生序列自相关的问题。

但是序列自相关和估计本身以及系数没有影响。

这道题难道不是序列自相关?

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

源_品职助教 · 2019年05月25日

如果这个遗失变量很重要,就说明方程建立错误

那么方程的系数就错了,所有针对方程对的假设的检验也无从谈起了。

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