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From |
Christopher F Baum <baum@bc.edu> |

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

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

Date |
Tue, 26 Oct 2010 15:32:27 -0400 |

<> Lisa wrote 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? webuse lutkepohl,clear center consumption income qtr, standardize reg consumption income qtr reg consumption income qtr, beta // note that SEs, F change when you est on z-transformed vars // as opposed to merely asking for beta coefficients on the regular regression reg c_consumption c_income c_qtr, nocons prais consumption income qtr, twostep // likewise, SEs, F change when you est on z-transformed vars // r^2 changes as well prais c_consumption c_income c_qtr, noconst twostep Kit Kit Baum | Boston College Economics and 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/

**Follow-Ups**:**RE: RE: st: RE: Re: standardized betas in Prais-Winsten Regression***From:*Schöler, Lisa <lschoeler@wiwi.uni-frankfurt.de>

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