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Lucy · 2020年03月04日

问一道题：NO.PZ2018122801000072 [ FRM I ]

  1. FRM I
  2. Quantitative

问题如下：

The proper selection of factors to include in an ordinary least squares estimation is critical to the accuracy of the result. When does omitted variable bias occur?

选项：

A.

Omitted variable bias occurs when the omitted variable is correlated with the included regressor and is a determinant of the dependent variable.

B.

Omitted variable bias occurs when the omitted variable is correlated with the included regressor but is not a determinant of the dependent variable.

C.

Omitted variable bias occurs when the omitted variable is independent of the included regressor and is a determinant of the dependent variable.

D.

Omitted variable bias occurs when the omitted variable is independent of the included regressor but is not a determinant of the dependent variable.

解释：

A is correct.

考点 ： Omit Variable

解析 ： Omitted variable bias occurs when a model improperly omits one or more variables that are critical determinants of the dependent variable and are correlated with one or more of the other included independent variables. Omitted variable bias results in an over-or under-estimation of the regression parameters.

Omitted variable 会underestimate 是在与independent variable 负相关的情况下吗？

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orange品职答疑助手 · 2020年03月04日

同学你好，Omitted variable如果既和X相关也和Y相关，就会产生Omitted variable bias，不管这个相关性的正负

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