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夏雪xiao96021 · 2020年03月01日

问一道题：NO.PZ2018122801000072

  1. FRM I
  2. Quantitative

问题如下：

The proper selection of factors to include in an ordinary least squares estimation is critical to the accuracy of the result. When does omitted variable bias occur?

选项：

A.

Omitted variable bias occurs when the omitted variable is correlated with the included regressor and is a determinant of the dependent variable.

B.

Omitted variable bias occurs when the omitted variable is correlated with the included regressor but is not a determinant of the dependent variable.

C.

Omitted variable bias occurs when the omitted variable is independent of the included regressor and is a determinant of the dependent variable.

D.

Omitted variable bias occurs when the omitted variable is independent of the included regressor but is not a determinant of the dependent variable.

解释：

A is correct.

考点 ： Omit Variable

解析 ： Omitted variable bias occurs when a model improperly omits one or more variables that are critical determinants of the dependent variable and are correlated with one or more of the other included independent variables. Omitted variable bias results in an over-or under-estimation of the regression parameters.

为什么不选c呢

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1 个答案

品职答疑小助手雍 · 2020年03月01日

同学你好，Omitted variable bias：自变量X会因为与Omitted variable相关而解释到一定部分的Y，这样会影响当前回归中X的系数。

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