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re: st: Simple regression and Multiple regression?

From   Kit Baum <>
Subject   re: st: Simple regression and Multiple regression?
Date   Sun, 14 Mar 2010 12:18:14 -0400

Alan said

To add to Kit's point, I believe that the coefficients could be
identical but it would require that all  of the independent measures
are uncorrelated.

Quite so. Iff the regressors are mutually orthogonal, then simple regression and multiple regression coefficients are identical. But when they are not, you must partial-off the other regressors to get a simple regression of Y on X to equal the multiple regression coefficient of Y on X, Z, R, P, Q etc.  That is the essence of the FWL theorem.

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

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