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Daenerys · 2020年01月13日

问一道题: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.  

老师您好,请问一下残差项的遗漏为什么会导致系数估计

1 个答案

星星_品职助教 · 2020年01月13日

同学你好,

遗漏变量偏差指的是一个方程里本来应该的有的“变量”被遗漏了。被遗漏的是其中的一个X变量,而不是残差。

例如正确的方程本来应该是 Y=b0+b1X1+b2X2,但是X2被遗漏了,导致方程错误的变成了 Y=b0+b3X1。在错误的方程中,相当于本来应该由两个系数b1和b2共同解释的事情,现在只用一个系数b3来解释了。所以b3是不准确的。加油~

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