Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

re: st: Simple regression and Multiple regression?

From   Kit Baum <>
Subject   re: st: Simple regression and Multiple regression?
Date   Sun, 14 Mar 2010 10:12:29 -0400

Whether the coefficients and significance on x4 in two situations are the same in fact though a little difference in decimal part?

They will not be equal, because you need to partial-off the other regressors from both:

sysuse auto,clear
reg price mpg weight
predict double epsp, r
qui reg turn mpg weight
predict double epst, r
reg epsp epst
est store fwl
// Frisch-Waugh-Lovell theorem says that the coefficient of turn
// should be the same in multiple regression or in a regression
// of price on turn, with the effects of other regressors partialled-off
// from both
// see Baum-Schaffer-Stillman, Stata Journal 2003, 2007
// re ivreg fwl() option
reg price mpg weight turn
est store multr
suest multr fwl
test [multr_mean]turn = [fwl_mean]epst 

Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index