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- Title
Regression anatomy, revealed.
- Authors
Filoso, Valerio
- Abstract
The regression anatomy theorem (Angrist and Pischke, 2009, Mostly Harmless Econometrics: An Empiricist's Companion [Princeton University Press]) is an alternative formulation of the Frisch-Waugh-Lovell theorem (Frisch and Waugh, 1933, Econometrica 1: 387-401; Lovell, 1963, Journal of the American Statistical Association 58: 993-1010), a key finding in the algebra of ordinary least-squares multiple regression models. In this article, I present a command, reganat, to implement graphically the method of regression anatomy. This addition complements the built-in Stata command avplot in the validation of linear models, producing bidimensional scatterplots and regression lines obtained by controlling for the other covariates, along with several fine-tuning options. Moreover, I provide 1) a fully worked-out proof of the regression anatomy theorem and 2) an explanation of how the regression anatomy and the Frisch-Waugh-Lovell theorems relate to partial and semipartial correlations, whose coefficients are informative when evaluating relevant variables in a linear regression model.
- Subjects
MULTIPLE regression analysis; MOSTLY Harmless Econometrics: An Empiricist's Companion (Book); PARTIAL algebras; STATISTICAL correlation; ECONOMETRIC models
- Publication
Stata Journal, 2013, Vol 13, Issue 1, p92
- ISSN
1536-867X
- Publication type
Article
- DOI
10.1177/1536867x1301300107