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Re: st: variable selection and bootstrap


From   "Martin Weiss" <Martin.Weiss1@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: variable selection and bootstrap
Date   Sun, 22 Mar 2009 00:21:27 +0100

<>

The bootstrap is a stochastic process, i.e. -set seed- to get consistent results. For instance, note how -stepwise- throws out -ui- every now and then in the following code, whereas the analytic standard error helps -ui- stay in the model. 

*****
webuse lbw2,clear
forv i=1/10{
stepwise, pr(.10): logit low age lwt race2 race3 smoke ptl ht ui, vce(bootstrap)
}
*with analytic VCE
stepwise, pr(.10): logit low age lwt race2 race3 smoke ptl ht ui
*****

HTH
Martin
-------- Original-Nachricht --------
> Datum: Sat, 21 Mar 2009 22:51:28 +0100
> Von: aegl <aegl@orange.fr>
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: variable selection and bootstrap

> Hello,
> 
> I need to run a logistic regression including several X variables . I 
> therefore plan to use backwards selection to select the best predictors 
> and I have read that it is possible to combine this approach with
> boostrap.
> I have tried using the following syntax :
> 
> stepwise, pr(.10): logistic Y  X1 X2 X3 X4 X5 X6 X7, vce(bootstrap)
> 
> This gives a result that is different from using an alternative 
> approach: first running the backwards selection on the original sample, 
> and then using the bootstrap to compute the CIs.
> 
> Does anybody know what I am doing by using this syntax ? Is there 
> another way to run backwards selection procedures with bootstrap ?
> 
> Thank you very much for any input.
> 
> Joel Rebloch'
> Data analyst
> Grenoble, France
> 
> 
> 
> 
> 
> *
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-- 
Martin Weiss
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*
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