遗漏解释变量.pdfVIP

3.3 Specification Analysis Our analysis has been based on the assumption that the correct specification of the regression model is known to be: Y Xβ+ε 3.3.1 Omission of Relevant Variables The true model: Y Xβ=+ε X β =+ X β +ε 1 1 2 2 The specified model: Y X β =+ε 1 1 −1 ˆ ( ) β X X X Y 1 1 1 1 −1 ′ X X X X =+X