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CherryHuo · 2020年02月23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.  

您好,我听何老师讲到omit important variables这里强调过,会导致系数估计和标准误都是unreliable,但是没有提到consistency的内容。请问这里consistency也会受影响是怎么理解呀?谢谢。

1 个答案
已采纳答案

星星_品职助教 · 2020年02月23日

同学你好,

这里的结论很简单,omitted variable bias会导致系数估计不准确,同时也不满足consistency。

omitted variable bias的问题比较严重,是model misspecification的问题,也就是整个模型都错了,所以系数肯定也不准确,一致性也不会满足。

可以做个总结:

条件异方差,序列自相关,多重共线性是一组,都是违反OLS假设产生的问题,都不影响consistency

omitted variable bias是model misspecification的问题,影响consistency。

Catherine · 2020年02月27日

那所有的misspecification都会影响consistency吗

星星_品职助教 · 2020年02月27日

不能说这么绝对。二级里能涉及到的应该就是一个omitted variable bias,记住这个就行

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