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Re: st: ...stepwise regression...


From   David Vaughan <dvk@dvkconsult.com.au>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ...stepwise regression...
Date   Fri, 16 Apr 2004 10:23:18 +1000

On 15/04/2004, at 16:33, Conroy <rconroy@rcsi.ie> wrote:

on 13/04/2004 10:42, fabiopericolini@fastwebnet.it at
fabiopericolini@fastwebnet.it wrote:

I have read the FAQ file on Stata Site. I share their (Harrel & Conroy)
view on this point, but I have to set a interpretation model of a dipendent
variable and I have more than 500 indipendent variables. I have select the
more correlate variables but I need a procedure to select the most explanatory
variables.
If I don't apply the sw linear regression I don't know how select the
indipendent
variables. I have to do.
If you have 500 predictor variables you are probably in a fishing
expedition. If so, you must think of some useful strategies for reducing
these to a list of candidates.
If you really want a hands-off approach and have some money to spare then have a look at Knowledgeminer X. It is certainly not a Stata replacement but appears to be a niche tool for your sort of problem.

If you insist on sw, get hold of Velleman's discussion of the topic in the manuals to Data Desk. He provides an approach which attempts to maintain statistical sanity at each step (as Ronan Conroy suggests in his own discussion) rather than handing the whole task over to a computerised shotgun.

cheers
David

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