Question: We occasionally hear the remark that excluding an explanatory variable from a linear regression may result in misestimation of the slope coefficients whereas including an

We occasionally hear the remark that excluding an explanatory variable from a linear regression may result in misestimation of the slope coefficients whereas including an "irrelevant" explanatory variable will lead only to estimator inefficiency. Hence, it is argued, we should err on the side of including explanatory variables that are probably unnecessary. Describe a latent model in which this is true and another in which it is false.

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