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

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

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

Date |
Wed, 27 Oct 2010 13:37:58 +0000 |

```
Thank you very much. Statalist helps me a lot.
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Christopher F Baum
Sent: Tuesday, October 26, 2010 9:32 PM
To: [email protected]
Subject: re: RE: st: RE: Re: standardized betas in Prais-Winsten Regression
<>
Lisa wrote
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?
webuse lutkepohl,clear
center consumption income qtr, standardize
reg consumption income qtr
reg consumption income qtr, beta
// note that SEs, F change when you est on z-transformed vars
// as opposed to merely asking for beta coefficients on the regular regression
reg c_consumption c_income c_qtr, nocons
prais consumption income qtr, twostep
// likewise, SEs, F change when you est on z-transformed vars
// r^2 changes as well
prais c_consumption c_income c_qtr, noconst twostep
Kit
Kit Baum | Boston College Economics and 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: RE: st: RE: Re: standardized betas in Prais-Winsten Regression***From:*Christopher F Baum <[email protected]>

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