help mvreg dialog: mvreg
also see: mvreg postestimation
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Title
[R] mvreg -- Multivariate regression
Syntax
mvreg depvars = indepvars [if] [in] [weight] [, options]
options description
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Model
noconstant suppress constant term
Reporting
level(#) set confidence level; default is level(95)
corr report correlation matrix
display_options
control spacing and display of omitted variables and
base and empty cells
+ noheader suppress header table from above coefficient table
+ notable suppress coefficient table
+ coeflegend display coefficients' legend instead of coefficient
table
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+ noheader, notable, and coeflegend are not shown in the dialog box.
indepvars may contain factor variables; see fvvarlist.
depvars and indepvars may contain time-series operators; see tsvarlist.
bootstrap, by, jackknife, mi estimate, rolling, and statsby are allowed;
see prefix.
Weights are not allowed with the bootstrap prefix.
aweights are not allowed with the jackknife prefix.
aweights and fweights are allowed; see weight.
See [R] mvreg postestimation for features available after estimation.
Menu
Statistics > Linear models and related > Multiple-equation models >
Multivariate regression
Description
mvreg fits multivariate regression models.
Options
+-------+
----+ Model +------------------------------------------------------------
noconstant suppresses the constant term (intercept) in the model.
+-----------+
----+ Reporting +--------------------------------------------------------
level(#) specifies the confidence level, as a percentage, for confidence
intervals. The default is level(95) or as set by set level.
corr displays the correlation matrix of the residuals between equations.
display_options: noomitted, vsquish, noemptycells, baselevels,
allbaselevels; see [R] estimation options.
The following options are available with mvreg but are not shown in the
dialog box:
noheader suppresses display of the table reporting F statistics,
R-squared, and root mean squared error above the coefficient table.
notable suppresses display of the coefficient table.
coeflegend; see [R] estimation options.
Example
Setup
. sysuse auto
Fit multivariate regression model
. mvreg headroom trunk turn = price mpg displ gear_ratio length
weight
Replay results, suppressing header and coefficient tables but reporting
correlation matrix
. mvreg, notable noheader corr
Saved results
mvreg saves the following in e():
Scalars
e(N) number of observations
e(k) number of parameters (including constant)
e(k_eq) number of equations
e(df_r) residual degrees of freedom
e(chi2) Breusch-Pagan chi-squared (corr only)
e(df_chi2) degrees of freedom for Breusch-Pagan chi-squared
(corr only)
e(rank) rank of e(V)
Macros
e(cmd) mvreg
e(cmdline) command as typed
e(depvar) names of dependent variables
e(eqnames) names of equations
e(wtype) weight type
e(wexp) weight expression
e(r2) R-squared for each equation
e(rmse) RMSE for each equation
e(F) F statistic for each equation
e(p_F) significance of F for each equation
e(properties) b V
e(estat_cmd) program used to implement estat
e(predict) program used to implement predict
e(marginsok) predictions allowed by margins
e(marginsnotok) predictions disallowed by margins
e(asbalanced) factor variables fvset as asbalanced
e(asobserved) factor variables fvset as asobserved
Matrices
e(b) coefficient vector
e(Sigma) Sigma hat matrix
e(V) variance-covariance matrix of the estimators
Functions
e(sample) marks estimation sample
Also see
Manual: [R] mvreg
Help: [R] mvreg postestimation;
[MV] manova, [R] nlsur, [R] reg3, [R] regress, [R] regress
postestimation, [R] sureg
