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Re: st: importance of independent variables


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: importance of independent variables
Date   Thu, 6 Dec 2012 09:23:22 +0000

This is usually impossible in any strict sense unless the Xs really
are uncorrelated.

Conversely, if this were possible, users would want it greatly, so it
should be a mystery why StataCorp doesn't provide it as standard.

Any good regression or econometrics text explains this at length, and
that's a definition of "good".

Nick

On Thu, Dec 6, 2012 at 9:17 AM, A. Berâ <abdullahbera@gmail.com> wrote:

> I would like to compare the importance of independent variables (Xs)
> in explaining the dependent variable (y).
>
> What is the best way of doing this and how can this be done in Stata?
>
> For example, how can I partition the variance of y into components
> explained by individual Xs? Is there any user-written program that you
> know of for this purpose?

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