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Re: st: Stata: Command for F-Test Iterations in Stata 9


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stata: Command for F-Test Iterations in Stata 9
Date   Tue, 31 Oct 2006 16:43:49 -0500

At 04:12 PM 10/31/2006, n j cox wrote:
1. Automated search avoids scientific and practical
issues of deciding what predictor choice makes most
substantive sense. There is a long history of trying
this with various stepwise approaches -- which _are_ available
as -stepwise- in Stata, from before 9 -- but there's lots
of negative opinion about those. I don't think StataCorp would be
adding -stepwise- to the repertoire now if, somehow,
it wasn't currently there.
Although actually, Statacorp made it easier to use stepwise by adding the sw prefix command in Stata 9! That makes it pretty easy for user-written routines to support stepwise if they want to.

I've actually warmed up a bit to stepwise lately - not as a way of building a model from scratch, but as a way of verifying whether mindless empiricism leads you to the same models that your carefully thought out theories do. If not, and if a plausible case can be made for the variables selected by stepwise, then you may want to rethink your theory or at least acknowledge the possibility of alternative models. For example, in one of my working papers, I toss out (as a footnote) that stepwise regression chooses different variables than this other paper i am discussing, and that these alternative variables make as much substantive sense as the ones the author happened to choose.


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Richard Williams, Notre Dame Dept of Sociology
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