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Re: st: AW: Simulating stepwise regression


From   John Antonakis <john.antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: Simulating stepwise regression
Date   Fri, 07 Aug 2009 12:18:23 +0200

That's very helpful; thanks Martin.

To extend the below, how would I simulate the r-square? That is, I want to run the simulation say 100 times, and then obtain the mean r-square from each simulation. Thus, I can show, at a specific sample size (n=100) and number of independent variables (k=5), what the r-square would be just by chance alone.

As an extension, is there a way to vary the sample size (n from 50 to 1000, in increments of 50) and the number of independent variables (k=1 to k=100 in increments of 1) in the simulation?

Best,
J.

____________________________________________________

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
____________________________________________________



On 07.08.2009 12:06, Martin Weiss wrote:
<>
You could also -tokenize- the return from -indeplist- and have your -program- return the regressors one by one...


*************
capt prog drop sim

version 10.1

program define sim, rclass
  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
	tokenize "`r(X)'"
	ret loc one="`1'"
	ret loc two="`2'"
	ret loc three="`3'"
	ret loc four="`4'"
	ret loc five="`5'"
end

sim

ret li
*************



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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