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比如世界 · 2020年04月08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.

老师您好，选项A和C的区别是correlated和independent，这题是考察这个知识点吗？看了之前的回答，仍然没有明白这道题怎么选，麻烦老师再讲一下，谢谢。

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3 个答案

品职答疑小助手雍 · 2022年07月25日

同学你好，Omitted variable bias的定义是：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。

这里没有假设第二个解释变量，和多重共线性不是一回事。

PJ-John · 2022年07月23日

老师我不理解你说的第一种情况，回归系数不一样很正常啊 一个是Z对X回归，一个是Z对X和Y回归，模型都不一样系数怎么就叫有偏，有偏的定义不是这样吧？感觉选C啊 如果XY相互可以解释，那不是就叫多重共线性吗

小刘_品职助教 · 2020年04月08日

 同学你好，

这道题的考点是Omit Variable，可以看一下基础班的讲义第234.

简单的举一个例子，什么时候会发生Omit Variable bias，假设z=ax+by+c，也就是z应该受到 x和y 两个变量的影响，才是准确的回归结果，但是在回归的时候比如我们用的公式是z=mx+d；分两种情况进行讨论

1）如果遗漏的变量y跟x之间是相关的话，比如说y=ex+f， 那我们得到的m=（a+be）跟实际应该回归出来的a相比就是有偏的，那就出现Omit Variable bias

2）如果遗漏的变量y跟x是独立的，那我们计算出来的m=a；这个估计结果就不是有偏的，即没有发生Omit Variable bias。

讲义如下：

PJ-John · 2022年07月23日

PJ-John · 刚刚 老师我不理解你说的第一种情况，回归系数不一样很正常啊 一个是Z对X回归，一个是Z对X和Y回归，模型都不一样系数怎么就叫有偏，有偏的定义不是这样吧？感觉选C啊 如果XY相互可以解释，那不是就叫多重共线性吗

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NO.PZ2018122801000072 问题如下 The proper selection of factors to inclu in ornary least squares estimation is criticto the accuraof the result. When es omittevariable bias occur? Omitted variable bioccurs when the omittevariable is correlatewith the includ regressor anis a terminant of the pennt variable. Omitted variable bioccurs when the omittevariable is correlatewith the includ regressor but is not a terminant of the pennt variable. Omitted variable bioccurs when the omittevariable is inpennt of the includ regressor anis a terminant of the pennt variable. Omitted variable bioccurs when the omittevariable is inpennt of the includ regressor but is not a terminant of the pennt variable. A is correct. 考点 ： Omit Variable 解析 ： Omittevariable bioccurs when a mol improperly omits one or more variables thare criticterminants of the pennt variable anare correlatewith one or more of the other incluinpennt variables. Omittevariable biresults in over-or unr-estimation of the regression parameters. 这道题我错选了C，因为不太理解“omittevariable is correlatewith the incluregressor”，我选的是inpennt。

2022-10-16 16:16 1 · 回答

NO.PZ2018122801000072 问题如下 The proper selection of factors to inclu in ornary least squares estimation is criticto the accuraof the result. When es omittevariable bias occur? Omitted variable bioccurs when the omittevariable is correlatewith the includ regressor anis a terminant of the pennt variable. Omitted variable bioccurs when the omittevariable is correlatewith the includ regressor but is not a terminant of the pennt variable. Omitted variable bioccurs when the omittevariable is inpennt of the includ regressor anis a terminant of the pennt variable. Omitted variable bioccurs when the omittevariable is inpennt of the includ regressor but is not a terminant of the pennt variable. A is correct. 考点 ： Omit Variable 解析 ： Omittevariable bioccurs when a mol improperly omits one or more variables thare criticterminants of the pennt variable anare correlatewith one or more of the other incluinpennt variables. Omittevariable biresults in over-or unr-estimation of the regression parameters. Omittevariable biresults in over-or unr-estimation of the regression parameters.什么时候unr什么时候over？

2022-06-25 09:07 1 · 回答

NO.PZ2018122801000072 Omittevariable bioccurs when the omittevariable is correlatewith the incluregressor but is not a terminant of the pennt variable. Omittevariable bioccurs when the omittevariable is inpennt of the incluregressor anis a terminant of the pennt variable. Omittevariable bioccurs when the omittevariable is inpennt of the incluregressor but is not a terminant of the pennt variable. A is correct. 考点 Omit Variable 解析 Omittevariable bioccurs when a mol improperly omits one or more variables thare criticterminants of the pennt variable anare correlatewith one or more of the other incluinpennt variables. Omittevariable biresults in over-or unr-estimation of the regression parameters. 请问terminant在讲义上怎么体现的 老师有讲过吗

2021-03-06 13:52 1 · 回答

Omittevariable bioccurs when the omittevariable is correlatewith the incluregressor but is not a terminant of the pennt variable. Omittevariable bioccurs when the omittevariable is inpennt of the incluregressor anis a terminant of the pennt variable. Omittevariable bioccurs when the omittevariable is inpennt of the incluregressor but is not a terminant of the pennt variable. A is correct. 考点 Omit Variable 解析 Omittevariable bioccurs when a mol improperly omits one or more variables thare criticterminants of the pennt variable anare correlatewith one or more of the other incluinpennt variables. Omittevariable biresults in over-or unr-estimation of the regression parameters. Omittevariable 会unrestimate 是在与inpennt variable 负相关的情况下吗？

2020-03-04 10:25 1 · 回答