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zkii · 2018年12月20日

问一道题:NO.PZ2015120204000018 [ CFA II ]

问题如下图:

选项:

A.

B.

C.

解释:

题目不是说omit variable 和一个现有的已经被included 进这个model的variable相关,那么说明这个外面有个变量和已有的变量相关,这不是忽略反而好吗?这个omit variable是和X相关还是和Y相关?如果和Y相关说明它在残差里面,A不对,如果和Y相关,我就不懂了谢谢

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菲菲_品职助教 · 2018年12月26日

同学你好,何老师在视频types of Model misspecification里面的第一条就说了这个情况,提到了一个变量遗漏了,就说明error term 与current X variable相关(垃圾桶没倒干净),系数的估计和标准误都是unreliable的。

 

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