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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   re: re: st: Simple regression and Multiple regression?
Date   Sun, 14 Mar 2010 14:32:07 -0400

<>
Rose said

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.


No, if you fail to partia-offl the other regressors from the dependent variable, you get the same point estimate but a different standard error, t-stat, , R^2, RMS Error, etc. Check the example I gave for

reg epsp epst 

versus the regression 

reg price epst

You will see that they are not the same.  

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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