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st: coefficient interpretation in OLS


From   "Lynn Lee" <lynn09v@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: coefficient interpretation in OLS
Date   Fri, 17 Aug 2012 15:25:13 -0700

Dear all,

When I run simple OLS regression or pooled OLS regression, I find if I add
more variables to the model, the coefficient on specific explanatory
variable can vary in magnitude. For example, 
Y1=beta+beta1*X1+beta2*X2+beta3*X3+error term;  
Y2=alpha+alpha1*X1+ alpha2*X2+ alpha3*X3+ alpha4*X4+error term.
The absolute value of estimates of beta1 or alpha1 can increase or sometimes
decrease.  I am not confident to explain this theoretically. Is it related
to potential endogeneity issue?

Best Regards,
Lynn Lee


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