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Caroleee · 2020年05月29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.  

上课时候就有这个疑问

课上说if omitted variable is x2:

假设原来是y=b0+b1x1+b2x2+E

现在是y=a0+a1x1+e

课上说x2是被包含在e里, 即e(error项)与x1有相关性,这个说法不是和conditional heteroskedasticity一样么?

conditional heteroskedasticity得出的结论是coefficient estimates不受影响,但这里说忽略了x2会使得coefficient estimates unreliable...

请问我的理解是在哪一步出现了问题?是这里不能类比么?

1 个答案
已采纳答案

星星_品职助教 · 2020年05月29日

同学你好,

对于异方差,关键点在于“方差”是不是“异”即不同的。如果是异方差的考题,题干会专门说明残差的方差随着X的变化而变大(或变小),

本题的题干并没有提及方差相关的描述。从你的推断逻辑来看,error和X1有相关性,并不能等同于error的方差和X1之间也有直接的关系。

从考试角度出发,基本上只要题干中提到了“omitted variable ”,就是omitted variable bias的考点,而这个考点最重要的结论就是系数估计不准确和标准差有问题,所以直接选择A选项即可。

Caroleee · 2020年06月01日

明白了,我应该没搞清楚error项本身和error的方差项…感谢

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