frmnotes多变量回归的一个问题 新手求助！

yjn866

frm part I notes
book2 page185

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.

我的问题是：
忽视重要变量导致模型很多问题这没错。但是如果这个变量和其它变量相关，这不就是多重共线性了吗，难道不就应该忽略掉吗？

winsleybeckham

我的理解是，如果模型中没有包括lnM，而lnM确实是应该对R产影响的，residual就会包含lnM的影响。
所以，lnM与其他变量相关的话，residual就会与其他变量相关，这样就会造成模型不准确了。