wooldridge, introductory econometrics, 6e, 141页Problem 1
Which of the following can cause the usual OLS t statistics to be invalid (that is, not to have t distributions under H0 )?
(i) Heteroskedasticity.
(ii) A sample correlation coefficient of .95 between two independent variables that are in the model.
(iii) Omitting an important explanatory variable.
问题应该问的是下面哪些情况会导致空假设H0成立时,OLS t statistics 并不服从 t 分布,
答案给的是(i)和(iii)
(i) 明显违反了MLR.5和MLR.6;
(ii) 并不违反MLR.1-6,只要两独立变量的相关系数不等于+-1即可;
(iii) 感觉答案有点问题,答案是这样说的,an important omitted variable violates Assumption MLR.3. 可MLR.3 (no perfect Collinearity) 与(iii) 不矛盾啊...
我认为(iii) 有种特殊情况不会导致OLS t statistics 不服从t分布,即 omitted variable 与其余独立变量相互独立,且新的u ~ Normal(0, sigma^2) 满足 MLR.6
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