An analyst runs two least squares regressions: first of on a single variable , and second of on , both with an intercept. Which of the following is true of what she finds?
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2 marks, −0.666666666666667EconometricsLinear regression and OLSThe two regression lines and the correlation coefficientModerateabout 2 min
DSE 2014 Question 49: Linear regression and OLS
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An analyst runs two least squares regressions: first of y on a single variable x, and second of x on y, both with an intercept. Which of the following is true of what she finds? (A) The slope of the first is the inverse of the slope of the second; so are the t-ratios (B) The slopes differ, the t-ratios differ, but the R² is the same (C) The slopes differ, but the t-ratios and R² are the same (D) The slopes are inverses, the t-ratios are inverses, but R² is the same
Linear regression and OLS has come up 74 times in 7 exams since 2008.
What this question tests
This question is on The two regression lines and the correlation coefficient, part of Linear regression and OLS in Econometrics.
How the regression of y on x and of x on y relate to each other and to correlation.
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