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chris2.0🔱 · 2020年10月23日

问一道题:NO.PZ2015120204000018 [ CFA II ]

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.  

对应讲义在哪里?谢谢
1 个答案

星星_品职助教 · 2020年10月23日

同学你好,

omitted variable bias属于model misspecification的问题。

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