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RE: st: AW: multivariate linear reg


From   "stata_user stata_user" <[email protected]>
To   [email protected]
Subject   RE: st: AW: multivariate linear reg
Date   Thu, 18 May 2006 17:47:51 +0100

Thanks
What happen if y1,y2 and y3 are associated?
Why multivariate regression will still give the same results like as the indvidual linear regression models

Sami



From: "Stephan Brunow" <[email protected]>
Reply-To: [email protected]
To: <[email protected]>
Subject: st: AW: multivariate linear reg
Date: Wed, 17 May 2006 08:17:09 +0200

Hi,

if your model is

y1=a1 + b1*x + u
y2=a2 + b2*x + u
y3=a3 + b3*x + u

and x is the same for all equations you may estimate it equation by equation
OLS (regress y1 x1 and so on) or you may run sureg. (Seemingly unrelated
regression model). In both cases, as long as x is the same for all
equations, you should get the same results. Check Greene, Econometric
Analysis, Ch. 14. for details.
If you have various x in the different equations you should apply sureg. As
long as the error terms are uncorrelated, you may also apply OLS. However,
this is written in detail in the Greene-Text-Book.

Stephan

---
Stephan Brunow
MSc. in Economics und Diplom-Verkehrswirtschaftler
Professur f�r VWL, insb. Makro�konomik und
Raumwirtschaftslehre/Regionalwissenschaften
Institut f�r Wirtschaft und Verkehr
Fakult�t f�r Verkehrswissenschaften �Friedrich List"
Technische Universit�t Dresden
D-01062 Dresden



http://tu-dresden.de/regionalscience

Phone: ++49-(0)351-463-36806
Fax: ++49-(0)351-463-36819

-----Urspr�ngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von stata_user
stata_user
Gesendet: Dienstag, 16. Mai 2006 19:36
An: [email protected]
Betreff: st:multivariate linear reg

I would like to ask about the difference between a simple linear regression
of 3 depdent variables Y1 and Y2 and Y3 with a independent variable X

and the the multivariate version which regress (Y1,Y2,Y3) with X (test
statistics used in each case, interpretation of the output , if possible),
and how to do it in stata?

many thanks in advance?

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