PU/DSS/OTR
Linear Regression
(ver. 6.0)
Oscar Torres-Reyna
Data Consultant
[email protected]
http://dss.princeton.edu/training/

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Regression: a practical approach (overview)
We use regression to estimate the unknown effect
of changing one variable
over another (Stock and Watson, 2003, ch. 4)
When running a regression we are making two assumptions, 1) there is a linear
relationship between two variables (i.e.
X
and
Y
) and 2) this relationship is
additive (i.e.
Y= x1 + x2 + …+xN
).
Technically, linear regression estimates how much
Y
changes when
X
changes
one unit.
In Stata use the command regress, type:
regress [dependent variable] [independent variable(s)]
regress y x
In a multivariate setting we type:
regress y x1 x2 x3 …
Before running a regression it is recommended to have a clear idea of what you
are trying to estimate (i.e. which are your outcome and predictor variables).
A regression makes sense only if there is a sound theory behind it.
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