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Re: st:multivariate linear reg

From   Maarten buis <>
Subject   Re: st:multivariate linear reg
Date   Tue, 16 May 2006 21:34:29 +0100 (BST)

--- stata_user stata_user <> wrote:
> I would like to ask about the difference between a simple linear
> regression of 3 depdent variables Y1 and Y2 and Y3 with a independent
> variable X and the the multivariate version which regress (Y1,Y2,Y3)
> with X (test statistics used in each case, interpretation of the 
> output, if possible), and how to do it in stata?

Multivariate regression is implemented in Stata with the command
-mvreg-. Questions like these (does Stata do ...) can usually be
answered by typing -findit ...-, in this case -findit multivariate

To quote from the reference manual (for Stata version 6, since I only
have the old manual at home): "The individual coefficients and standard
errors produced by -mvreg- are identical to those that would be
produced by -regress- estimating each equation separately. The
difference is that -mvreg-, being a joint estimator, also estimates the
between-equation covariances, so you can test coefficients across
equations and, in fact, the -test- syntax makes such tests more

Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z214

+31 20 5986715

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