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From |
Schöler, Lisa <lschoeler@wiwi.uni-frankfurt.de> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: Re: standardized betas in Prais-Winsten Regression |

Date |
Tue, 26 Oct 2010 18:53:10 +0000 |

Hi Statalist, I am sorry that I have a question again, but I can't figure out my problem. As suggested by Kit, I z-transformed my independent and dependent variables. I used the command .center varlist, standardize Now my R^2 and F value go down. How can that happen, I have learned that R^2 and F value don't change if you z-transform. If I ran a regular OLS instead of a Prais-Winsten regression, R^2 and F value don't change. So I guess, it has something to do with the Prais-Winsten regression. Does anybody know the reason? Thank you very much Lisa -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum Sent: Saturday, October 23, 2010 1:42 AM To: statalist@hsphsun2.harvard.edu Subject: re: st: RE: Re: standardized betas in Prais-Winsten Regression <.> 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 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**re: st: RE: Re: standardized betas in Prais-Winsten Regression***From:*Christopher Baum <kit.baum@bc.edu>

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