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

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

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

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