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Re: st: about residuals and coefficients


From   David Hoaglin <[email protected]>
To   [email protected]
Subject   Re: st: about residuals and coefficients
Date   Wed, 4 Sep 2013 23:24:05 -0400

The article by Filoso performs a valuable service by calling attention
to the "Frisch-Waugh-Lovell theorem." I wish more people, especially
authors of textbooks, were aware of that property of  regression.

I do not understand, though, why that result should be called a
theorem or why it should be attributed to Frisch, Waugh, and Lovell.
A 1907 paper by Yule contains a more-general result.

David Hoaglin

G. Udny Yule (1907).  On the theory of correlation for any number of
variables, treated by a new system of notation.  Proceedings of the
Royal Society of London. Series A, Containing Papers of a Mathematical
and Physical Character.  79:182-193.

On Tue, Sep 3, 2013 at 10:32 PM, Daljit Dhadwal <[email protected]> wrote:
> Another Stata command/article that may be helpful to you in
> understanding/explaining the coefficients in the multiple regression
> equation is the following: Regression anatomy, revealed by Valerio
> Filoso in the Stata Journal (Volume 13 Number 1: pp. 92-106). If you
> don’t have access to the Stata journal, there’s an older version of
> the article here:
> http://works.bepress.com/cgi/viewcontent.cgi?article=1010&context=valerio_filoso
>
> Information on the command is available through: ssc des reganat
>
> Daljit Dhadwal

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