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RE: st: best subsets logistic regression

From   "Nick Cox" <>
To   <>
Subject   RE: st: best subsets logistic regression
Date   Mon, 7 Apr 2003 14:57:51 +0100

Joseph Coveney
> ann e fitzmaurice posted:
> ------------------------------------------------------------
> --------------------
> i have been asked by a colleague if it is possible to do 
> 'best subsets' modelling in 
> logistic regression
> my question is therefore - can this be achieved in stata 
> and how is it achieved
> ------------------------------------------------------------
> --------------------
> There is a textbook example of Stata performing best 
> subsets logistic regression at
> htm#heading4
> I'm not sure how best subsets modeling differs in principle 
> from stepwise regression, but 
> there are some programs that might be helpful to take a 
> look at and that might help 
> automate the process, for example, Stata's official -sw-.  
> Also, take a look at Nick Cox's 
> -allpossible- / -glmcorr-.  Although Al Feiveson's -tryem- 
> is written for linear regression, 
> examining the ado-file for it might give some ideas for 
> writing analogous code for 
> logistic regression.

I'd add a reference to Frank Harrell's text 
"Regression modeling strategies" (Springer, 
New York, 2001) which puts in print at pp.56ff
a list, which has been floating around for some years, 
of objections to stepwise regression. One earlier 
version is quoted on the Stata website in an FAQ. 

Having said that, -selectvars- on SSC is another 
tool relevant to this problem.  

One of the uses of -allpossible- is to make it 
clear that often many models appear about 
equal in performance. This is quite different 
from any attempt to automate the selection 
of one model from among the possibilities. 


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