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Re: st: about residuals and coefficients
From
Yuval Arbel <[email protected]>
To
statalist <[email protected]>
Subject
Re: st: about residuals and coefficients
Date
Thu, 5 Sep 2013 09:14:41 +0300
David,
I believe I saw Yule (1907) mentioned in Johnston and Dinardo's
textbook (Econometric Methods).
The context was spurious correlation: they gave examples of cases
where you get very high R-Squared in spite of the lack of plausible
connection between variables (e.g., a time series of number of
marriage in the church of England and death rates in England)
On Thu, Sep 5, 2013 at 6:24 AM, David Hoaglin <[email protected]> wrote:
> The article by Filoso performs a valuable service by calling attention
> to the "Frisch-Waugh-Lovell theorem." I wish more people, especially
> authors of textbooks, were aware of that property of regression.
>
> I do not understand, though, why that result should be called a
> theorem or why it should be attributed to Frisch, Waugh, and Lovell.
> A 1907 paper by Yule contains a more-general result.
>
> David Hoaglin
>
> G. Udny Yule (1907). On the theory of correlation for any number of
> variables, treated by a new system of notation. Proceedings of the
> Royal Society of London. Series A, Containing Papers of a Mathematical
> and Physical Character. 79:182-193.
>
> On Tue, Sep 3, 2013 at 10:32 PM, Daljit Dhadwal <[email protected]> wrote:
>> Another Stata command/article that may be helpful to you in
>> understanding/explaining the coefficients in the multiple regression
>> equation is the following: Regression anatomy, revealed by Valerio
>> Filoso in the Stata Journal (Volume 13 Number 1: pp. 92-106). If you
>> don’t have access to the Stata journal, there’s an older version of
>> the article here:
>> http://works.bepress.com/cgi/viewcontent.cgi?article=1010&context=valerio_filoso
>>
>> Information on the command is available through: ssc des reganat
>>
>> Daljit Dhadwal
>
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--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: [email protected]
e-mail2: [email protected]
You can access my latest paper on SSRN at: http://ssrn.com/abstract=2263398
You can access previous papers on SSRN at: http://ssrn.com/author=1313670
*
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