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Jane Z · 2021年02月05日

不好意思，觉得之前的解答并不是很清楚

  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.  

还是不是很懂。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?

  1. 虽然在missspecification里的第一点提到了omitted的变量，但是那里的条件并没有omitted variable is correlated with variables already included in the model这句话，为什么coefficient的estimates还是不准？
  2. 另外consistency不是说样本量越多，结果越准确吗？在之前提到的三种assumptionviolation里面，多重共线性里系数的估计也不准确了，但是仍然不会影响consistency。这里为什么就会影响到consistency？难道遗漏了变量就不是样本量越多越准确了吗？
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星星_品职助教 · 2021年02月06日

同学你好，

①omitted variable bias成立需要有两个条件：

1）这个被遗漏的变量和方程里已有的X变量必须相关；

2）这个被遗漏的变量必须能解释Y；

只有满足了这两个条件，才能构成一个“omitted variable bias”

②omitted variable bias属于model misspecification的问题，会导致1）系数估计不准确和2）不满足consistency。这两个都是数学证明的结论，超出了CFA的范围，原版书里并没有涉及。

可以这样简单的去记忆，model misspecification是模型整体都错了，所以就都啥也不满足了。

而多重共线性只是OLS的假设没有满足，问题相对来说没有那么严重。虽然系数估计不准了，但统计学上的性质consistency还是满足的。

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