REGPARTCORR Procedure

@REGPARTCORR is a regression post-processor which computes and prints the partial correlations between the regressors and the dependent variable. It must be preceded by a LINREG instruction.

@REGPARTCORR (no options or parameters)

Example

* Greene, Econometric Analysis, 7th Edition

* Example 3.1 from page 38-39

* Results differ slightly because of use of rounded data in the text

open data tablef3-1.txt

calendar(a) 1968

data(format=prn,org=columns) 1968:01 1982:01 year gnp invest cpi interest

set realgnp = .1*gnp/cpi

set realinv = .1*invest/cpi

set trend = t

* The inflation series needs to be defined from 1968 for later analysis.

* The value from 1968 can't be computed from the data set as is, so is

* provided directly. The FIRST option on SET uses a separate formula for

* the first entry.

set(first=4.40) inflation = (cpi/cpi{1}-1)*100.0

linreg realinv

# constant trend realgnp interest inflation

* @RegPartCorr is a procedure which computes the partial correlations for

* the most recent regression.

@regpartcorr

Sample Output

This shows the LINREG output followed by the @REGPARTCORR output. The latter shows the partial R-squared and the standardized coefficients.

Linear Regression - Estimation by Least Squares

Dependent Variable REALINV

Annual Data From 1968:01 To 1982:01

Usable Observations 15

Degrees of Freedom 10

Centered R^2 0.9734972

R-Bar^2 0.9628961

Uncentered R^2 0.9993222

Mean of Dependent Variable 0.2034337158

Std Error of Dependent Variable 0.0341144915

Standard Error of Estimate 0.0065712644

Sum of Squared Residuals 0.0004318152

Regression F(4,10) 91.8296

Significance Level of F 0.0000001

Log Likelihood 57.1326

Durbin-Watson Statistic 1.9636

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant -0.509068377 0.053933271 -9.43886 0.00000269

2. TREND -0.016589625 0.001929415 -8.59827 0.00000623

3. REALGNP 0.670303475 0.053799929 12.45919 0.00000021

4. INTEREST -0.002428091 0.001193776 -2.03396 0.06934437

5. INFLATION 0.000063879 0.001318846 0.04844 0.96232303

Partial Correlations and Standardized Coefficients

Label Partial R^2 Std. Coefficient

Constant NA 0.00000

TREND -0.93854 -2.17477

REALGNP 0.96927 3.14969

INTEREST -0.54096 -0.20016

INFLATION 0.01531 0.00365