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


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   stepwise like SPSS? [was: RE: st: Means test]
Date   Thu, 15 Feb 2007 19:14:51 -0500

Here is a not too painful way to get more stepwise information from Stata. Basically, just run the regressions twice: Once with stepwise, and then again with nestreg. With nestreg, specify the vars in the same order that stepwise added them. Example:

. use "http://www.indiana.edu/~jslsoc/stata/spex_data/ordwarm2.dta";
(77 & 89 General Social Survey)

. sw, pe(.05): reg warm yr89 male white age ed prst
begin with empty model
p = 0.0000 < 0.0500 adding age
p = 0.0000 < 0.0500 adding male
p = 0.0000 < 0.0500 adding yr89
p = 0.0000 < 0.0500 adding ed
p = 0.0022 < 0.0500 adding white

[Output deleted]

. nestreg, quietly: reg warm age male yr89 ed white

Block 1: age
Block 2: male
Block 3: yr89
Block 4: ed
Block 5: white

+-------------------------------------------------------------+
| | Block Residual Change |
| Block | F df df Pr > F R2 in R2 |
|-------+-----------------------------------------------------|
| 1 | 103.49 1 2291 0.0000 0.0432 |
| 2 | 83.64 1 2290 0.0000 0.0769 0.0337 |
| 3 | 67.28 1 2289 0.0000 0.1033 0.0264 |
| 4 | 35.46 1 2288 0.0000 0.1170 0.0137 |
| 5 | 9.44 1 2287 0.0022 0.1206 0.0036 |
+-------------------------------------------------------------+

You may want to use some of the other nestreg options too, e.g. you can ask for likelihood ratio tests rather than Wald and you can have it store the results of each model. And if you want more of the blow by blow details, you can leave off the quietly option. A nice thing about the -lr- option is that it also gives you AIC and BIC statistics for each model:

. nestreg, quietly lr: reg warm age male yr89 ed white

Block 1: age
Block 2: male
Block 3: yr89
Block 4: ed
Block 5: white

+----------------------------------------------------------------+
| Block | LL LR df Pr > LR AIC BIC |
|-------+--------------------------------------------------------|
| 1 | -3031.664 101.31 1 0.0000 6067.329 6078.804 |
| 2 | -2990.536 82.26 1 0.0000 5987.073 6004.286 |
| 3 | -2957.325 66.42 1 0.0000 5922.65 5945.6 |
| 4 | -2939.694 35.26 1 0.0000 5889.388 5918.076 |
| 5 | -2934.973 9.44 1 0.0021 5881.945 5916.371 |
+----------------------------------------------------------------+


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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