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Re: st: coefficient interpretation in OLS
From
Nick Cox <[email protected]>
To
[email protected]
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 <[email protected]> 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?
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