If a regression equation contains an irrelevant variable, the parameter estimates will be
A) Consistent and unbiased but inefficient
B) Consistent and asymptotically efficient but biased
C) Inconsistent
D) Consistent, unbiased and efficient.

Question

Quizplus · Accepted Answer

Including an irrelevant variable in a regression model does not bias the estimates of other coefficients or make them inconsistent, but it does make them inefficient because it increases the variance of the coefficient estimates without improving the model's explanatory power.

If a Regression Equation Contains an Irrelevant Variable, the Parameter