Publication: Neglected heterogeneity, Simpson’s paradox, and the anatomy of least squares
Neglected heterogeneity, Simpson’s paradox, and the anatomy of least squares
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Winkelmann, R. (2024). Neglected heterogeneity, Simpson’s paradox, and the anatomy of least squares. Journal of Econometric Methods, 13(1), 131–144. https://doi.org/10.1515/jem-2023-0028
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When a sample combines data from two or more groups, multivariate regression yields a matrix-weighted average of the group-specific coefficient vectors. However, it is possible that the weighted average of a specific coefficient falls outside the range of the group-specific coefficients, and it may even have a different sign compared to both group-level coefficients, a manifestation of Simpson’s paradox. The result of the combined regression is then prone to misinterpretation. The purpose of this paper is to raise awareness of this pr
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Winkelmann, R. (2024). Neglected heterogeneity, Simpson’s paradox, and the anatomy of least squares. Journal of Econometric Methods, 13(1), 131–144. https://doi.org/10.1515/jem-2023-0028
