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st: Re: Using the Residuals as dependent variables


From   "Tam Phan" <tamdphan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Using the Residuals as dependent variables
Date   Thu, 6 Mar 2008 21:41:09 -0500

Hi all,

Given a model:

Y = a + x(b) + z(d)+e

Then, one takes the residuals e from this regression and regress it on
a new set of explanatory variables, that is:

e+mean(Y) = a1 + k(t)+v

(note mean(Y) only affects the intercept a1)

Any idea why this method is favored over:

Y = a +x(b) +z(d) + k(t) + e? (which essentially is a one stage
regression instead of the latter 2 stage)
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