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Re: st: re; general econometrics question


From   "Suryadipta Roy" <sroy2138@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re; general econometrics question
Date   Sun, 25 Nov 2007 18:49:11 -0600

Hi Kit,

Thanks very much for the pointer.
Suryadipta.

On 11/23/07, Kit Baum <baum@bc.edu> wrote:
> 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
>
>
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