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米妮涵 · 2021年08月05日

多重共线性应该不会影响估计的一致性啊

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.  

在此题中提到了会影响consistency,但那几种假设都不会影响参数估计的一致性啊

1 个答案
已采纳答案

星星_品职助教 · 2021年08月05日

同学你好,

本题题干中标明“If an omitted variable is......”

所以本题考点为“omitted variable bias”,这是model misspecification的问题,不属于任何一种假设(异方差,序列相关,多重共线性)被违反的情况。

omitted variable bias既会导致系数估计不准确,也会影响一致性。

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