Introductory Econometrics

Restricted Regression

Henri Theil pointed out that if in fact the intercept is zero, a restricted regression that forces the intercept to be zero outperforms the usual OLS regression with an intercept. Of course, if the intercept is not actually zero, then running a regression through the origin is a bad idea. The Excel workbook below demonstrates this and other lessons.

RegThroughOrigin.xls