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小范范 · 2020年03月30日

问一道题:NO.PZ201709270100000308 第8小题 [ CFA II ]

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解释:

老师,关于X不能是随机变量这一点,,能解释下这是为啥么?我理解X就应该是随机变量呀,谢谢

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星星_品职助教 · 2020年03月30日

同学你好,

这是OLS的前提假设,如果要用OLS来估计系数的话,就需要X不能是随机变量。否则系数无法估计。

但在实务中,往往X就是随机的,所以这个时候通过数学证明可以得到,如果X随机,但X和error term之间是uncorrelated的,就也可以用OLS做估计。

证明不用掌握,这条假设考的也不多,掌握以上两个结论即可。

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