There is this question that I could not really find an answer to online. Let's say that we do a simple linear regression model with y and x1, and we compute the slope of x. Then, we make a multiple linear regression model with y, x1, and x2. But now the slope of x1 changed. Why is that?
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$\begingroup$ Google for "omitted variable bias." $\endgroup$– Matthew GunnCommented Nov 6, 2020 at 14:13
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$\begingroup$ @MatthewGunn thanks a lot! never heard of that! $\endgroup$– Kerem TuncerCommented Nov 6, 2020 at 14:17
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$\begingroup$ A related and highly illustrative example is Simpson's paradox. $\endgroup$– Matthew GunnCommented Nov 6, 2020 at 14:24
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$\begingroup$ This is a FAQ: see stats.stackexchange.com/… $\endgroup$– whuber ♦Commented Nov 6, 2020 at 14:51
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