Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: coefficient interpretation in OLS


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: coefficient interpretation in OLS
Date   Fri, 17 Aug 2012 10:06:43 +0100

This really is covered in every decent regression text (in your case,
perhaps, an econometrics text). It's an inevitable consequence of any
correlations between X4 and X1, X2, X3.

Nick

On Fri, Aug 17, 2012 at 11:25 PM, Lynn Lee <lynn09v@gmail.com> wrote:

> When I run simple OLS regression or pooled OLS regression, I find if I add
> more variables to the model, the coefficient on specific explanatory
> variable can vary in magnitude. For example,
> Y1=beta+beta1*X1+beta2*X2+beta3*X3+error term;
> Y2=alpha+alpha1*X1+ alpha2*X2+ alpha3*X3+ alpha4*X4+error term.
> The absolute value of estimates of beta1 or alpha1 can increase or sometimes
> decrease.  I am not confident to explain this theoretically. Is it related
> to potential endogeneity issue?
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index