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Re: st: stepwise


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: stepwise
Date   Fri, 01 Sep 2006 10:49:49 -0500

At 09:28 AM 9/1/2006, Timothy.Mak@iop.kcl.ac.uk wrote:
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?
I believe both SPSS and Stata start by doing listwise deletion of MD. When choosing a model, the comparisons would get distorted if different cases were being analyzed at different steps, i.e. you shouldn't compare a model with 8 cases and x1 to a model with 7 cases and X1 and X2.


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Richard Williams, Notre Dame Dept of Sociology
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