📚 Introductory Econometrics with MORISTAT

A Practical Guide to Empirical Analysis

Naguib Lallmahomed · naglal@linux-mauritius.com · 2026-06-14

Chapter 4: Multiple Regression Analysis (Estimation)

🎯 Learning Objectives

Upon completing this chapter, you will be able to:

Understand the multiple linear regression model
Interpret coefficients in a multiple regression context
Understand the "partialling out" interpretation
Use MORISTAT to estimate multiple regression models
Understand and interpret Adjusted R-squared

4.1 Introduction to Multiple Regression

The Multiple Linear Regression Model is:

Y = β₀ + β₁X₁ + β₂X₂ + ⋯ + βₖXₖ + u

Example: Explaining House Prices

Suppose we want to explain house prices using:

X₁ = Size (square feet)
X₂ = Bedrooms
X₃ = Age (years)

Price = β₀ + β₁ × Size + β₂ × Bedrooms + β₃ × Age + u

4.2 Multiple Regression with MORISTAT

4.2.1 Complete Example: Housing Prices

Data (houses.csv):

Price	Size	Bedrooms	Age
250000	1500	3	10
300000	1800	3	5
350000	2000	4	2
280000	1600	3	15
400000	2500	4	8
320000	1900	3	12
450000	2800	4	3
220000	1300	2	20
370000	2100	4	6
500000	3000	5	1

Run regression:

MORISTAT> LOAD houses.csv
MORISTAT> LIST
MORISTAT> REGRESS Price ~ Size Bedrooms Age

Interpretation:

Size: Each additional square foot increases price by β̂₁
Bedrooms: Each additional bedroom increases price by β̂₂
Age: Each additional year reduces price by β̂₃
R-squared: Proportion of price variation explained
Adjusted R-squared: Penalized version for multiple variables

4.3 Practice Lab

In this lab, you will:

Load the houses.csv dataset
Run a multiple regression of Price on Size, Bedrooms, and Age
Interpret the coefficients and R-squared

# Step 1: Load the data
LOAD houses.csv

# Step 2: Examine the data
LIST
SUMMARY

# Step 3: Run regression
REGRESS Price ~ Size Bedrooms Age

# Step 4: Confidence intervals
CI 0.95

# Step 5: Diagnostics
DIAG

4.4 Key Terms

Multiple Regression Ceteris Paribus Partialling Out Perfect Collinearity Multicollinearity Adjusted R-squared VIF (Variance Inflation Factor) Omitted Variable Bias

4.5 What's Next?

In Chapter 5, we focus on inference in multiple regression.

→ Proceed to Chapter 5

🔄 Ready to connect with MORISTAT?