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re: st: Simple regression and Multiple regression?


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
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   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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