If a regression is over specified then the estimators should change markedly once the extraneous variables are removed.

Question

Quizplus · Accepted Answer

Over-specification in regression, which involves including unnecessary variables, does not typically change the estimators of the relevant variables markedly when the extraneous variables are removed, assuming there is no multicollinearity. The main issue with over-specification is reduced efficiency and unnecessarily complex models, rather than a significant change in the estimates of the coefficients for relevant variables.

If a Regression Is Over Specified Then the Estimators Should