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From |
Ronán Conroy <rconroy@rcsi.ie> |

To |
"statalist hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Selecting Best Regression Equation using STATA |

Date |
Tue, 06 Apr 2004 11:19:27 +0100 |

on 05/04/2004 19:34, wildscop at appstat@hotpop.com wrote: > > Does STATA provide any command to form any of the following procedures to > find Best Regression Equation - Stata's strength lies in its user-contributed procedures. In this case, the best regression equation is of the form Response variable is a function of the theory you are using informed by interacting with the data, adjusted for confounding variables. I don't mean to be flippant, but the construction of a regression equation is like the investigation of a crime. Many leads need to be checked out, and it has to fit the known data but, most important of all, it has to make sense. The trouble with 'automatic' methods is that they don't know any science, and cannot be expected to. And what it there is no science? What if you just have a whole bunch of predictors and want to weed out the redundant ones? The trouble is model shrinkage. The model you build will over-estimate the ability of the predictor variables. If applied to a new sample of data, the fit of any model will drop by a factor that is the ratio of adjusted-R-squared to R-squared (for least squares models - other models the calculation is more complex). However, for stepwise models and best subset models the adjusted R-squared should be calculated based on *all* the predictors that were *considered* for inclusion, not just the ones that were included. With many predictors, this can mean that your model shrinkage makes it useless a priori. Ronan M Conroy (rconroy@rcsi.ie) Lecturer in Biostatistics Royal College of Surgeons Dublin 2, Ireland +353 1 402 2431 (fax 2764) -------------------- Just say no to drug reps http://www.nofreelunch.org/ -------------------------------------------------------------------------------------------------------------------- This email and any files transmitted with it are confidential and intended solely for the use of the individual or entity to whom they are addressed. If you have received this email in error please notify the originator of the message. This footer also confirms that this email message has been scanned for the presence of computer viruses. Any views expressed in this message are those of the individual sender, except where the sender specifies and with authority, states them to be the views of The Royal College Of Surgeons in Ireland. -------------------------------------------------------------------------------------------------------------------- * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Selecting Best Regression Equation using STATA***From:*wildscop <appstat@hotpop.com>

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