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st: Re: sequential multiple regression

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: sequential multiple regression
Date   Thu, 4 Nov 2004 07:47:59 -0500

The subset model will only make sense if the restrictions which it imposes on the full model are acceptable to the data; otherwise the subset model is misspecified and inconsistent. I don't see that

regress y x1 x2 x3 x4
test x3 x4

is that much work to judge whether the joint test rejects the subset model. In fact you could consider the other two submodels (that both include x1 x2) with two more lines:

test x3
test x4

so in four lines of code you can test the full model and three restricted variants.


Kit Baum, Boston College Economics

On Nov 4, 2004, at 2:33 AM, Eugene wrote:

I am doing a sequential multiple regression where I start with the base
model: y = a + b1x1 + b2x2

followed by the full model: y = a = b1x1 + b2x2 + b3x3 + b4x4

Is there anyway that I could get STATA to generate the change statistics
when changing from the base model to the full model?
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