书中讲到Examples of Misspecification of functional form:
举例:
The correct specification of the model is as follows:
R=b0+b2*B+b2*lnM+b3*lnPB+b4*FF+residual
Misspecification #1. Omitting a Variable
Suppose we do not include lnM in the regression model:
R=a0+a1*B+a2*lnPB+a3*FF+residual
If lnM is correlated with any of the remaining independent variables(B,lnPB, or FF), then the error term is also correlated with the same independent variables and the resulting regression coefficients (the estimates of a0, a1, a2) are biased and inconsistent. That means our hypothesis tests and predictions using the model are unreliable.