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From |
"Martin Weiss" <martin.weiss@uni-tuebingen.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Program to drop insignificant variables from an equation |

Date |
Wed, 20 Aug 2008 14:22:23 +0200 |

-h stepwise- -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of XandeR XandeR Sent: Wednesday, August 20, 2008 12:45 AM To: statalist@hsphsun2.harvard.edu Subject: st: Program to drop insignificant variables from an equation Hello. I want to make a script that automatically one by one drops insignificant variables from a regression, starting from the most insignificant one. I am currently writing MSc dissertation and I am running regression with 3 variables and 312 dummies not all of which are significant. So it would be a great help if the STATA could do it for me. The syntax of the regression is: reg offer timedum* mean stdev skew id*, noconst cluster(show_id) where mean stdev and skew are independent variables and timedum* and id* are six time dummies and 306 cross-sectional dummies. On my own I got as far as generating a vector of t-stats (the program for that follows in the end of this message). However I do not know what to do next with it. My critical value for this program is 1.96 (although it would be even better to make STATA to calculate a critical value as well). Hope any of you guys can help me out. Thank you very much in advance. Regards Alex My script for generating a vctor of t-values: set more off matrix A = e(b) matrix B = e(V) local a = rowsof(B) di "a is `a' local c = "" matrix T=J(`a',1,0) forval i=1/`a' { matrix T[`i',1] = el(A,1,`i')/sqrt(el(B,`i',`i')) } * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Program to drop insignificant variables from an equation***From:*XandeR XandeR <xanderx@mail.ru>

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