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From |
ymarchenko@stata.com (Yulia Marchenko, StataCorp LP) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
RE: st: Factor variables and mim |

Date |
Wed, 12 Aug 2009 14:46:44 -0500 |

Tony Lachenbruch <Peter.Lachenbruch@oregonstate.edu> 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 ymarchenko@stata.com * * 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/

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