

Under the heading least squares, Stata can fit ordinary regression models, instrumentalvariables models, constrained linear regression, nonlinear least squares, and twostage leastsquares models. (Stata can also fit quantile regression models, which include median regression or minimization of the absolute sums of the residuals.)
After fitting a linear regression model, Stata can calculate predictions, residuals, standardized residuals, and studentized (jackknifed) residuals; the standard error of the forecast, prediction, and residuals; the influence measures Cook’s distance, COVRATIO, DFBETAs, DFITS, leverage, and Welsch’s distance; varianceinflation factors; specification tests; and tests for heteroskedasticity.
Among the fit diagnostic tools are addedvariable plots (also known as partialregression leverage plots, partial regression plots, or adjusted partial residual plots), componentplusresidual plots (also known as augmented partial residual plots), leverageversussquaredresidual plots (or LR plots), residualversusfitted plots, and residualversuspredictor plots (or independent variable plots). Each tool is available by typing one command.
For example, let’s start with a dataset that contains the price, weight, mpg, and origin (foreign or U.S.) for 74 cars:
Source  SS df MS  Number of obs = 74  
F( 4, 69) = 21.22  
Model  350319665 4 87579916.3  Prob > F = 0.0000  
Residual  284745731 69 4126749.72  Rsquared = 0.5516  
Adj Rsquared = 0.5256  
Total  635065396 73 8699525.97  Root MSE = 2031.4 
price  Coef. Std. Err. t P>t [95% Conf. Interval]  
weight  4.613589 .7254961 6.36 0.000 3.166263 6.060914  
foreign  
Foreign  11240.33 2751.681 4.08 0.000 5750.878 16729.78  
mpg  263.1875 110.7961 2.38 0.020 42.15527 484.2197  
foreign#c.mpg  
Foreign  307.2166 108.5307 2.83 0.006 523.7294 90.70368  
_cons  14449.58 4425.72 3.26 0.002 23278.65 5620.51  
We have used factor variables
in the above example. The term foreign##c.mpg specifies to include
a full factorial of the variables—main effects for each variable and an
interaction. The c. just says that mpg is continuous.
regress is Stata’s linear
regression command. All estimation commands have the same syntax: the name
of the dependent variable followed by the names of the independent variables.
After estimation, we can review diagnostic plots:
Typing rvfplot displays a residualversusfitted plot, although we created the graph above by typing rvfplot, yline(0); this drew a line across the graph at 0. That you can discern a pattern indicates that our model has problems.
We obtain a leverage plot by typing:
avplot draws addedvariable plots, both for variables currently in the model and variables not yet in the model:
Addedvariable plots are so useful that they are worth reviewing for every variable in the model:
The graph above is one Stata image and was created by typing avplots. The combined graph is useful because we have only four variables in our model, although Stata would draw the graph even if we had 798 variables in our model. The individual graphs would, however, be too small to be useful. That is why there is an avplot command.
Exploring the influence of observations in other ways is equally easy. For instance, we could obtain a new variable called cook containing Cook’s distance and then list suspicious observations by typing
make price e cook  
12.  Cad. Eldorado 14,500 7271.96 .1492676  
13.  Cad. Seville 15,906 5036.348 .3328515  
24.  Ford Fiesta 4,389 3164.872 .0638815  
28.  Linc. Versailles 13,466 6560.912 .1308004  
42.  Plym. Arrow 4,647 3312.968 .1700736  
We could obtain all the DFBETAs and then list the four observations having the most negative influence on the foreign coefficient and the four observations having the most positive influence by typing
make price foreign _dfbeta_2  
1.  Plym. Arrow 4,647 Domestic .6622424  
2.  Cad. Eldorado 14,500 Domestic .5290519  
3.  Linc. Versailles 13,466 Domestic .5283729  
4.  Toyota Corona 5,719 Foreign .256431  
make price foreign _dfbet~2  
71.  Volvo 260 11,995 Foreign .2318289  
72.  Plym. Champ 4,425 Domestic .2371104  
73.  Peugeot 604 12,990 Foreign .2552032  
74.  Cad. Seville 15,906 Domestic .8243419  