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Re: re: st: Simple regression and Multiple regression?


From   gjhxmu@sina.com
To   statalist<statalist@hsphsun2.harvard.edu>
Subject   Re: re: st: Simple regression and Multiple regression?
Date   Mon, 15 Mar 2010 02:03:29 +0800

Dear Kit and Alan,
Thank you very much for your help!
I helps a lot.
By the way,"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." In Woodbridge's book,  the effect of other regressors is only partialled-off from the concerned regressor, not from the dependent variable. 
It is also OK, right?
What I  tried in stata told me it was OK.

Thank you very much again!
Best regards,
Rose

----- Original Message -----
From: Kit Baum <baum@bc.edu>
To: statalist@hsphsun2.harvard.edu
Subject: re: st: Simple regression and Multiple regression?
Date: 2010-3-15 00:18:14

<>
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 | 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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