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RE: st: Factor variables and mim
Tony Lachenbruch <[email protected]> had a follow-up question
for the discussion of -mi estimate-'s -cmdok- option:
http://www.stata.com/statalist/archive/2009-08/msg00384.html
http://www.stata.com/statalist/archive/2009-08/msg00391.html
http://www.stata.com/statalist/archive/2009-08/msg00479.html
> Does this imply that I can run a stepwise regression or LARS by using cmdok?
Stepwise estimation as performed by the -stepwise- command presently cannot be
used with -mi estimate-. -stepwise- is a prefix command and it is not allowed
with -mi estimate-. That is, typing
. stepwise : mi estimate : ...
will result in error. More generally, -mi estimate- cannot be used with any
prefix commands other than -xi-, but we do plan on expanding the list of
allowed prefix commands as part of future development.
The user-written command -lars- cannot be used with -mi estimate- even if the
-cmdok- option is used because of two technical issues:
1. -lars- does not save the estimated variance-covariance matrix;
2. -lars- is an r-class command and not an e-class command
In general, the second issue can be resolved by writing an e-class wrapper
which calls an r-class command and resaves the appropriate results in -e()-;
see http://www.stata.com/statalist/archive/2009-08/msg00479.html for the list
of required -e()- results. The first issue, however, is not easily resolved.
I haven't seen much discussion in the literature about applications of the
Lasso method, which is implemented in -lars-, and, more generally,
variable-selection methods to multiply-imputed data. This is something that
we may look into in the future.
--Yulia
[email protected]
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