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Re: st: importance of independent variables


From   David Hoaglin <dchoaglin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: importance of independent variables
Date   Thu, 6 Dec 2012 06:17:39 -0500

Hi, Abdullah.

I assume that you have a multiple regression model.  In such an
analysis, unless the X's (other than the constant) are uncorrelated,
it is not possible to partition the variance of y into components
explained by the individual X's.  People sometimes calculate the
incremental contribution that each X makes to the overall R^2, but
those contributions depend on the order in which the X's are added to
the model.

David Hoaglin

On Thu, Dec 6, 2012 at 4:17 AM, A. Berâ <abdullahbera@gmail.com> wrote:
> Dear Stata Users,
>
> 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?
>
> Any help is appreciated. Thanks.
>
> --
> abdullah bera

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