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st: stepwise


From   Timothy.Mak@iop.kcl.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   st: stepwise
Date   Fri, 1 Sep 2006 15:28:22 +0100

Hi Stata list, 

When it come to stepwise regression, both SPSS and Stata do something I 
don't know why it does. Given the made-up dataset below, where y has 8 
observations and x1 has 8 and x2 has 7. 

   y      x1    x2
    4.00            1.00             .00
    5.00            1.00             .00
    6.00            1.00             .00
    7.00            1.00            1.00
    8.00             .00             .00
    9.00             .00             .00
   10.00             .00        .
   11.00             .00             .00


If I run a stepwise regression of y on x1 and x2, using the Forward 
procedure, then the final 'selected' model, which is equivalent to the y 
on x1 regression, only uses 7 observations. Is it based on any statistical 
principle that models should be selected this way? If not, why does Stata 
not at least provide an option where you can use all available 
observations in the selection process? 

Tim 
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