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
"Lynn Lee" <[email protected]>
To
<[email protected]>
Subject
RE: st: coefficient interpretation in OLS
Date
Fri, 17 Aug 2012 21:48:58 -0700
Thank you, Nick.
Best Regards,
Lynn Lee
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Nick Cox
Sent: Friday, August 17, 2012 2:07 AM
To: [email protected]
Subject: Re: st: coefficient interpretation in OLS
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?
*
* 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/
*
* 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/