The Phantom Menace of Omitted Variables – A Comment

This note demonstrates that in applied regression analysis, the variance of a coeffi cient of interest may decrease from the inclusion of a control variable, contrasting with Clarke’s assertion (2005, 2009) that the variance can only increase or stay the same. Practitioners may thus be well-advised to include a relevant control variable on this basis alone, particularly when it is weakly correlated with the variable of interest.

MoreLess

Year of publication:	2011-09
Authors:	Ritter, Nolan ; Vance, Colin
Institutions:	Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Subject:	Control variables \| variance \| model specifi cation

More details

Extent:	application/pdf
Series:	Ruhr Economic Papers. - ISSN 1864-4872.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0282 12 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; c18
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009321169