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From |
Schöler, Lisa <[email protected]> |

To |
"[email protected]" <[email protected]> |

Subject |
RE: st: RE: Re: standardized betas in Prais-Winsten Regression |

Date |
Tue, 26 Oct 2010 18:53:10 +0000 |

```
Hi Statalist,
I am sorry that I have a question again, but I can't figure out my problem.
As suggested by Kit, I z-transformed my independent and dependent variables. I used the command
.center varlist, standardize
Now my R^2 and F value go down. How can that happen, I have learned that R^2 and F value don't change if you z-transform.
If I ran a regular OLS instead of a Prais-Winsten regression, R^2 and F value don't change. So I guess, it has something to do with the Prais-Winsten regression. Does anybody know the reason?
Thank you very much
Lisa
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Christopher Baum
Sent: Saturday, October 23, 2010 1:42 AM
To: [email protected]
Subject: 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
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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**References**:**re: st: RE: Re: standardized betas in Prais-Winsten Regression***From:*Christopher Baum <[email protected]>

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