Stata 15 help for mvreg

[MV] mvreg -- Multivariate regression


mvreg depvars = indepvars [if] [in] [weight] [, options]

options Description ------------------------------------------------------------------------- Model noconstant suppress constant term

Reporting level(#) set confidence level; default is level(95) corr report correlation matrix display_options control columns and column formats, row spacing, line width, display of omitted variables and base and empty cells, and factor-variable labeling

noheader suppress header table from above coefficient table notable suppress coefficient table coeflegend display legend instead of statistics ------------------------------------------------------------------------- indepvars may contain factor variables; see fvvarlist. depvars and indepvars may contain time-series operators; see tsvarlist. bayes, bootstrap, by, jackknife, mi estimate, rolling, and statsby are allowed; see prefix. For more details, see [BAYES] bayes: mvreg. Weights are not allowed with the bootstrap prefix. aweights are not allowed with the jackknife prefix. aweights and fweights are allowed; see weight. noheader, notable, and coeflegend do not appear in the dialog box. See [MV] mvreg postestimation for features available after estimation.


Statistics > Multivariate analysis > MANOVA, multivariate regression, and related > Multivariate regression


mvreg fits a multivariate regression model for several dependent variables with the same independent variables.


+-------+ ----+ Model +------------------------------------------------------------

noconstant suppresses the constant term (intercept) in the model.

+-----------+ ----+ Reporting +--------------------------------------------------------

level(#) specifies the confidence level, as a percentage, for confidence intervals. The default is level(95) or as set by set level.

corr displays the correlation matrix of the residuals between equations.

display_options: noci, nopvalues, noomitted, vsquish, noemptycells, baselevels, allbaselevels, nofvlabel, fvwrap(#), fvwrapon(style), cformat(%fmt), pformat(%fmt), sformat(%fmt), and nolstretch; see [R] estimation options.

The following options are available with mvreg but are not shown in the dialog box:

noheader suppresses display of the table reporting F statistics, R-squared, and root mean squared error above the coefficient table.

notable suppresses display of the coefficient table.

coeflegend; see [R] estimation options.


Setup . sysuse auto

Fit multivariate regression model . mvreg headroom trunk turn = price mpg displ gear_ratio length weight

Replay results, suppressing header and coefficient tables but reporting correlation matrix . mvreg, notable noheader corr

Stored results

mvreg stores the following in e():

Scalars e(N) number of observations e(k) number of parameters in each equation e(k_eq) number of equations in e(b) e(df_r) residual degrees of freedom e(chi2) Breusch-Pagan chi-squared (corr only) e(df_chi2) degrees of freedom for Breusch-Pagan chi-squared (corr only) e(rank) rank of e(V)

Macros e(cmd) mvreg e(cmdline) command as typed e(depvar) names of dependent variables e(eqnames) names of equations e(wtype) weight type e(wexp) weight expression e(r2) R-squared for each equation e(rmse) RMSE for each equation e(F) F statistic for each equation e(p_F) p-value for F test for each equation e(properties) b V e(estat_cmd) program used to implement estat e(predict) program used to implement predict e(marginsok) predictions allowed by margins e(marginsnotok) predictions disallowed by margins e(marginsdefault) default predict() specification for margins e(asbalanced) factor variables fvset as asbalanced e(asobserved) factor variables fvset as asobserved

Matrices e(b) coefficient vector e(Sigma) Sigma hat matrix e(V) variance-covariance matrix of the estimators

Functions e(sample) marks estimation sample

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