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.
上课时候就有这个疑问
课上说if omitted variable is x2:
假设原来是y=b0+b1x1+b2x2+E
现在是y=a0+a1x1+e
课上说x2是被包含在e里, 即e(error项)与x1有相关性,这个说法不是和conditional heteroskedasticity一样么?
conditional heteroskedasticity得出的结论是coefficient estimates不受影响,但这里说忽略了x2会使得coefficient estimates unreliable...
请问我的理解是在哪一步出现了问题?是这里不能类比么?