Why can't I generate the DFBETAs for the constant after a regression?
Neither -dfbeta- nor -predict, dfbeta()- will allow me to do this.
-regress- labels the constant as "_cons", but obviously I can't do
. dfbeta _cons
or
. predict dfcons, dfbeta(_cons)
after -regress-. I don't really see why a "DF_cons" isn't generated by
-dfbeta- along with all the other DFs when no varlist is given. After
all, the constant is just as valid a regression coefficient as the
others.
If I instead try
. gen one=1
and include "one" along with my other regressors as an explicit
constant, and add to -regress- the option:
1) -hascons-, then -dfbeta- generates DFone containing all missing
values;
2) -noconstant-, then -dfbeta- reports the error "not appropriate after
regress, nocons". I'm afraid I don't understand why it's not
appropriate.
As I understand it, DFBETA[i] is the change in the estimate of the
coefficient when the ith observation is deleted, scaled by the
estimated standard error of the coefficient. I can't see where that
would break down when the coefficient in question is the constant.
I appreciate it may be a little unusual to be interested in whether any
observations have a big influence on the estimate of the constant,
but I really do want to know!
I'd be very grateful for any explanations,
Roger.
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