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Pina · 2021年09月03日

解释

  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.  

老师好 这句子 "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. " 是什么意思？

是指漏掉的变量是和已有的x 有关联的吗？ 如果是和已有变量X有关系的不是就是多重共线性 去掉了，不是模型更准吗？ 谢谢。

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已采纳答案

星星_品职助教 · 2021年09月03日

同学你好，

这道题目已经在题干中明确的说这就是一个“ an omitted variable”了。所以本身就满足评论里说的两个前提条件，不然不能叫做omitted variable。

强相关在题干里往往会描述为 strongly correlated，或者给个表格里面相关系数达到0.7以上，一看就是强相关。

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omitted variable的后果就是会导致“ coefficient estimates will be biased and inconsistent and standard errors will also be inconsistent. ”，直接选择即可。



Pina · 2021年09月03日

老师好 有看到 这个解释 ，但是这题里 怎么看出是弱关系 还是强关系？ 谢谢


Omitted variable bias需要满足两个前提条件：

1）这个被遗漏的变量和方程里已有的X变量必须（弱）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”

只有变量之间强相关才会引发多重共线性。

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