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st: Simulate stepwise: Report coefficients from each replication

From   John Antonakis <>
Subject   st: Simulate stepwise: Report coefficients from each replication
Date   Mon, 29 Mar 2010 16:56:19 +0200

I want to highlight the evils of stepwise analysis. However, I am having problems in getting Stata to report the coefficients from each replication --it seems that it only reports the coefficients that are common across replications. Anyone have any ideas?

set seed 51

drop _all

set obs 272
gen x1=rnormal()
gen x2=rnormal() +.2*x1
gen x3=rnormal() +.3*x1 + .3*x2
gen x4=rnormal() +.2*x1
gen x5=rnormal()
gen x6=rnormal() + .2*x5
gen x7=rnormal() + .5*x5
gen x8=rnormal() + .1*x7
gen x9=rnormal() + .1*x7

generate double e  = 5*rnormal()
generate double u  = sqrt(exp(-2+0.6*x1))*e

gen y = 5+ x1+x2+x3+x4+x5+x6+x7+x8+x9 + 2*u

stepwise, pr(.2): reg y x1-x9


simulate _b _se, reps(20) seed (123) : sim,


Prof. John Antonakis, Associate Dean Faculty of Business and Economics
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University of Lausanne
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