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Re: st: stepwise regression
At 09:22 AM 4/13/2004 +0200, email@example.com wrote:
There is nothing that says that results have to be the same. Indeed, you
can come up with reasonable examples involving suppressor effects where
none of the variables will enter if you use forward selection, and none
will be dropped if you use backwards. And, if you are trying to choose from
hundreds of variables, it is not at all surprising that you get different
I have performed the sw (stepwise) regress in Stata, my results with backward
or forward estimation is very different, but I know that shouldn't be so.
My question is: is the Stata sw procedure the real stepwise estimation??!!
It seems to me that the selection is based only on the significance and
not on the marginal explainatory power of every single variable.
As others have noted, stepwise is generally a poor way to go. Surely if
you have 100s of variables many of them must tap the same concepts and can
be combined into scales.
But, if you are determined to use an approach that goes both forwards and
backwards (e.g. adds a variable, then goes back and drops something that is
no longer significant, then goes forward again, etc.) SPSS and probably
other packages offer it if you have access to them.
Another suggestion: if you use stepwise, cross-validate your results
against a different sample. More practically, divide your sample in
two. This reduces the likelihood that you are just capitalizing on chance
in your SW analysis.
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
WWW (personal): http://www.nd.edu/~rwilliam
WWW (department): http://www.nd.edu/~soc
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