# st: AW: Simulating stepwise regression

 From "Martin Weiss" To Subject st: AW: Simulating stepwise regression Date Fri, 7 Aug 2009 11:56:30 +0200

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Install Maarten`s

*************
ssc d indeplist
*************

which captures the remaining covariates after -stepwise- has done its questionable magic.

*********

capture program drop sim

version 10.1

program define sim
drop _all
set obs 100
gen y = invnorm(uniform())
gen x1 = invnorm(uniform())
gen x2 = invnorm(uniform())
gen x3 = invnorm(uniform())
gen x4 = invnorm(uniform())
gen x5 = invnorm(uniform())
stepwise, pr(.2): regress y x1-x5
qui indeplist
end

set seed 4353

sim

ret li
*********

Why do you still use "invnorm(uniform())" given that your -version- is set to 10.1? You could easily use- rnormal()- then...

HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von John Antonakis
Gesendet: Freitag, 7. August 2009 11:47
An: statalist@hsphsun2.harvard.edu
Betreff: st: Simulating stepwise regression

Hi:

I would like to simulate the below. Note, I am no fan of stepwise--I
just want to demonstrate it evils

However, I do not know

1. what to put in the place of "??"--that is, I want the program to
capture only the variables that were selected in the model as being
significant

2. how to simulate the r-square.

3. how to extend the simulation (a new program) such that I simulate
from n = 50 to n=1000 (in increments of 50), crossed with independent
variables ranging from x1 to x100.

Regards,
John.

Here is the program:

set seed 123456

capture program drop sim
version 10.1
program define sim, eclass
drop _all

set obs 100

gen y = invnorm(uniform())
gen x1 = invnorm(uniform())
gen x2 = invnorm(uniform())
gen x3 = invnorm(uniform())
gen x4 = invnorm(uniform())
gen x5 = invnorm(uniform())

stepwise, pr(.2): regress y x1-x5
end

simulate ??? , reps(20) seed (123) : sim,

foreach v in ?? {
gen t_`v' = /*
*/_b_`v'/_se_`v'
gen p_`v' =/*
*/ 2*(1-normal(abs(t_`v')))
}

____________________________________________________

Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:
http://www.hec.unil.ch/people/jantonakis&cl=en

Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________

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```