Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: re; general econometrics question


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re; general econometrics question
Date   Fri, 23 Nov 2007 10:31:40 -0500

S. Roy said

Thank you very much for your reply. I have interacted the X term with
the institutional factor Z. Given the nature of the dependence, I was
thinking of interacting Z with something like (Xbar - X(i)).


It would be more standard to write the difference (x_i - x_bar), but it matters not. Algebraically, using auto.dta, compare

. reg price mpg trunk weight trunkw

. reg price mpg trunk weight trunkcw

where trunkw = trunk*weight and trunkcw = trunk*(weight - mean(weight)).

The two regressions have the same R2, Root MSE, and coefficient / std err on the interaction term. The coefficient on trunk changes, that's all.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index