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打好主线 · 2022年01月10日

为什么这里会造成inconsistent

  1. CFA II
  2. Quantitative

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.  

有问必答里之前有位助教的解释是影响了b1的估计就会导致inconsistent。但是多重共线性中会影响b1的估计也不会影响inconsistent，所以为什么ommited x会导致呢

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1 个答案

星星_品职助教 · 2022年01月10日

同学你好，

多重共线性和omitted variable bias是完全不同的问题。前者只影响到了使用最小二乘法去估计系数的前提假设，后者是model misspecification的问题，模型整体使用错误，这个问题更为严重。

inconsistency是通过数学证明得到的，这点超出了CFA的范畴。可以简单理解为omitted variable bias导致模型整体都错了，自然会导致系数和系数的标准误都出了问题，即“ biased and inconsistent parameter estimates and inconsistent standard errors. ”


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