Re: st: RE: Linear Regression

["Brian P. Poi" <bpoi@stata.com>]

On Fri, 8 Aug 2008, Meric Osman wrote:

> Hi,
> I have a problem about writing my regression equation. I want to add
> the variable and its square at the same time. Such as
>
> y = a + a^2 + ...
>
> Actually, I can do it by generating a new variable which is a*a, but I
> don't wanna do that because it is not an efficient way.
>
> I really appreciate if you can help me with that.
One solution is to use the -nl- command instead of -regress-.  Say we want 
to fit the regression

   mpg = b0 + b1*gear + b2*gear^2 + error

Then we would type

   . sysuse auto
   . nl (mpg = {b0} + {b1}*gear + {b2}*gear^2), variables(gear)

An advantage of using -nl- is that we can then get the marginal effect for 
gear very easily using -mfx-:

   . mfx compute

Had we used -regress-, we could not have used -mfx-.  To use -regress-, we 
would have needed to create a new variable gearsq, say, containing gear^2. 
But when we call -mfx-, it has no way of knowing that gearsq and gear are 
related.  Using -nl- obviates this issue.  When you intend to use -mfx- 
after -nl-, you need to use the variables() option.  Otherwise, -mfx- has 
no way of knowing what the variables in the model are.

For more tricks with -nl-, see Poi (2008, "Stata tip 58: nl is not just 
for nonlinear models", Stata Journal vol. 8. no. 1).

  -- Brian Poi
  -- bpoi@stata.com
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/