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AW: st: RE: Re: standardized betas in Prais-Winsten Regression

From   Schöler, Lisa <[email protected]>
To   "[email protected]" <[email protected]>
Subject   AW: st: RE: Re: standardized betas in Prais-Winsten Regression
Date   Sat, 23 Oct 2010 09:39:43 +0000


it is not surprising that R2, F statistics etc. don't change. In my case the coefficients didn't change.
I guessI understood you advice wrong, I thought that 
.center varlist
with SSC center would be the right thing to get the z-transformation.
Thanks again for your help.


Von: [email protected] [[email protected]]&quot; im Auftrag von &quot;Christopher Baum [[email protected]]
Gesendet: Samstag, 23. Oktober 2010 01:42
Bis: [email protected]
Betreff: re: st: RE: Re: standardized betas in Prais-Winsten Regression

Lisa said

I centered all my variables and ran the Prais-Winsten Regression with the centered variables. The coefficients are the same for uncentered and centered variables. I think that this can't be true. Does anyone know why this problem occurs?

Actually if you want beta coefficients, you want to not only center them but z-transform them, that is, subtract the mean and divide by the sd. Subtracting constants from y and x doesn't change their correlation.

But z-transforming is a linear transformation, and regression of a lin.transf.(y) on a lin.transf.(x) doesn't change r^2. F, t-stats, etc. So why should this be surprising?


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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