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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 14:36:40 -0400

<>
Eric said

> Read the first paragraph of the linked text. Then skip to after equation 1.4 where the formula for beta_2_hat is given. From there it is clear that it suffices to remove the effects of X1 on X2.


In terms of the point estimates, quite right. But in an application such as IV regression, you want to get not only the same point estimates but the same interval estimates that you would without partialling. Eric's reference shows that the partialled and unpartialled equations have the same residuals, which implies they have the same point estimates. But they do not have the same interval estimates, nor do the partialed and unpartialed equations have the same summary statistics.

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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