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st: Re: nocons option

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: nocons option
Date   Wed, 19 Jan 2005 07:58:35 -0500

In the model including a constant, is the constant estimate distinguishable from zero? If it is, it is absolutely inappropriate to respecify the model to omit it, since you are then asserting that the response variable is homogeneous in the regressors (that is, the expected value of y with all x==0 is 0). On the other hand, if the constant is insignificant, you may be justified in omitting it. However, this should be checked for every respecification or subset of the data you employ: e.g. the constant might be insig. over the whole sample, but highly signif. if you included only males, or only females in the model.

Kit Baum, Boston College Economics

On Jan 19, 2005, at 2:33 AM, Omar wrote:

Since estimating linear models with and without the constant (specifying
the "nocons" option in stata) results in coefficient estimates with
different standard errors and p-values, is it "cheating" to prefer a model
without a constant if some covariates are statistically significant in that
model but not in the one which includes the constant?
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