Could you please shed some lights about how to interpret linear regresssion results (2-stage vs. 1 stage)?
For example, I have the following:
lmStage1 <- lm(y~x1) lmStage2 <- lm(residuals(lmStage1)~x2) summary(lmStage2)
lmAll <- lm(y~x1+x2) summary(lmAll)
How do I interpret and compare the coefficients/t-stats, etc. of the above two models?
And how do I compare the two approaches and what observations/diagnosis/studies shall I draw from the above two models?
In general, I feel that I am quite weak in drawing observations and obtaining intuitions from regression studies... are there books focusing on these interpretations and intuitions?
Thanks a lot!