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Re: st: AW: Simulate stepwise: Report coefficients from each replication

 From John Antonakis To statalist@hsphsun2.harvard.edu Subject Re: st: AW: Simulate stepwise: Report coefficients from each replication Date Mon, 29 Mar 2010 17:07:29 +0200

Sorry....I took bits out of some older code....in fact, the program is the following (where I want to show that stepwise gives nonsense findings, particularly when analyzing data within extreme groups--believe me, people do this and I am commenting on a paper that just did it)--I will run the below four times for each group (though with a bit of programming I guess it is possible to run it one):
```
clear
set seed 51

capture program drop sim
version 10.1
program define sim, eclass
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

reg y x*

sort x1
gen x1_count=_n
gen x1_high=1 if _n > 177
replace x1_high=0 if _n <178
gen x1_low=1 if _n < 96
replace x1_low=0 if _n>95

sort x2
gen x2_count=_n
gen x2_high=1 if _n > 177
replace x2_high=0 if _n <178
gen x2_low=1 if _n < 96
replace x2_low=0 if _n>95

gen group="high_high" if x1_high==1 & x2_high==1
replace group="low_low" if x1_low==1 & x2_low==1
replace group="low_high" if x1_low==1 & x2_high==1
replace group="high_low" if x1_high==1 & x2_low==1

stepwise, pr(.2): reg y x1-x9 if group=="low_low"

end

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

Best,
J.

____________________________________________________

```
Prof. John Antonakis, Associate Dean Faculty of Business and Economics
```Department of Organizational Behavior
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

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

On 29.03.2010 17:02, Martin Weiss wrote:
```
<>
```
Where exactly do you define -program- "sim"? -simulate- expects a command
after the colon, remember...

HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von John Antonakis
Gesendet: Montag, 29. März 2010 16:56
An: statalist@hsphsun2.harvard.edu
Betreff: st: Simulate stepwise: Report coefficients from each replication

```
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?
```
clear
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

end

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

```
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```