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Re: st: hireg help


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: hireg help
Date   Fri, 18 May 2007 12:16:38 -0400

Richard--
Thanks for pointing out the genealogy of -hireg- and -nestreg-. As for
the second point, are you saying you don't have qualms about -hireg-
and -nestreg-? True enough that -hireg- is not -stepwise- per se, but
it is a tool for model selection based on change in R2 or significance
tests on variables or groups of variables, which is like stepwise
regression, though "more respectable" as you say...  -nestreg- adds a
likelihood ratio test option to the Wald stat from -hireg- in addition
to supporting many other estimation commands (including svy commands),
but -stepwise- offers similar choices, and even has a -hierarchical-
option. The question is, to my mind, is the whole enterprise
statistically legitimate?  Are the calculated standard errors in your
chosen model adjusted for the fact that you threw out the 17 other
variables that did not pass muster in the 7 other regressions you
estimated?  Maybe _mtest should be built in... but I have a feeling
that a suitable Monte Carlo would reject these methods, even with some
marginal corrections.

On 5/18/07, Richard Williams <Richard.A.Williams.5@nd.edu> wrote:
At 10:15 AM 5/18/2007, Austin Nichols wrote:

>I've noticed that questions on stepwise regression or the like
>occasionally go unanswered on Statalist, perhaps because the practice
>is inadvisable (i.e. don't do it!).

hireg isn't stepwise though.  It is nested models, where the user
specified the order of entry, which is much more respectable than
stepwise.  The Stata 9 command -nestreg- is derived from -hireg-, so
upgrading to Stata 9 would be another way of addressing the problem.

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