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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
Wed, 4 Sep 2013 23:55:09 -0700
I also checked in Greene's textbook - which is considered to be (at
least by economists) the most extensive econometric textbook - which
covers almost everything. On page 73 he specifically mentions the
Frisch-Waugh (1933)-Lovell (1963) Theorem as Theorem 3.2.
"In the linear least squares regression of vector y on two sets of
variables, X1 and X2, the subvector b2 is the set of coefficients
obtained when the residuals from a regression of y on X1 alone are
regressed on the set of residuals obtained when each column of X2 is
regressed on X1"
P.S. It is possible that someone does not get the credit he or she
deserves, but this is a matter for history researchers. A very famous
example is the L'Hopital Rule, named after the wrong person. The story
says that L'Hopital bought the right to be named as the original
discoverer of the rule
Reference: William H. Greene: Econometric Analysis, Seventh Edition
On Thu, Sep 5, 2013 at 9:14 AM, Yuval Arbel <[email protected]> wrote:
> 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
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> 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
--
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
On Wed, Sep 4, 2013 at 11:14 PM, Yuval Arbel <[email protected]> wrote:
> 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
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> 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
--
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
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/