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re: st: RE: Re: standardized betas in Prais-Winsten Regression

From   Christopher Baum <>
To   <>
Subject   re: st: RE: Re: standardized betas in Prais-Winsten Regression
Date   Fri, 22 Oct 2010 19:42:05 -0400

Lisa said

I centered all my variables and ran the Prais-Winsten Regression with the centered variables. The coefficients are the same for uncentered and centered variables. I think that this can't be true. Does anyone know why this problem occurs?

Actually if you want beta coefficients, you want to not only center them but z-transform them, that is, subtract the mean and divide by the sd. Subtracting constants from y and x doesn't change their correlation.

But z-transforming is a linear transformation, and regression of a lin.transf.(y) on a lin.transf.(x) doesn't change r^2. F, t-stats, etc. So why should this be surprising?


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

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