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stepwise like SPSS? [was: RE: st: Means test]

From   "Nick Cox" <>
To   <>
Subject   stepwise like SPSS? [was: RE: st: Means test]
Date   Wed, 14 Feb 2007 22:32:32 -0000

Replying to a different thread and not changing the title
are not recommended. 

You want what I see as full-blown intravenous stepwise. 

StataCorp's support for any flavour of 
stepwise -- by comparison with SPSS -- is lukewarm at best. 

You could build on some user-written tools to write 
your own, but I guess that's not in prospect if you
are just beginning. 

Throw "stepwise" at a random bunch of users at a Stata users' 
meeting, and I think the reactions would be some mix of 

	snake oil!!
	wishful thinking! 
	dodgy, but useful with care 

and somebody would suggest that you go and read Frank Harrell's 
"Regression modeling strategies" (Springer 2001) on why 
you shouldn't. 


David Zatz
> I am moving to Stata from SPSS. We have a somewhat special 
> situation, where
> we frequently work on exploratory data, and have in the past 
> used SPSS'
> stepwise regression to isolate key variables from a list of 
> about 60-90
> variables as a way to guide our path analysis. (We do not 
> solely rely on
> regression but do use it to help lead us to key "unique variance"
> questions.)
> Stata's stepwise regression does not give us any indication 
> of increase in
> R2 for each model, adding variables in, though we could 
> manually do this at
> a great increase in time. Indeed, I've now spent several 
> hours looking at
> various solutions, including stepwise regress, rsquare, 
> pathreg, etc. and
> haven't found anything that goes through all the various potential
> combinations and spits out a number of models, with total R2, R2
> contributed by each new entry, and the various coefficients and betas
> involved with each. Is this possible in Stata?

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