Question: Suppose the true regression model is: Y =B + BX + BX3j + Uj 1 of 3 Now, consider the following advice: When the

Suppose the true regression model is: Y =B + BX + BX3j

Suppose the true regression model is: Y =B + BX + BX3j + Uj 1 of 3 Now, consider the following advice: "When the explanatory variables X and X, are correlated, the variance of b, is larger than it would be if X, and X, were uncorrelated. Thus, if you are interested in P, it is best to leave X, out of the regression if it is correlated with X." What do you think of this advice?

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