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


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: AW: st: AW: Simulate stepwise: Report coefficients from each replication
Date   Mon, 29 Mar 2010 18:56:21 +0200

<> 

I am glad it all worked out for you. When I run your code, I get the same
result whether I -list- the dataset created by -simulate- or I look at the
-outreg2- xml-file via - !start low_low2.xml-. Everything may ride here on
what "kick-out" means for you...



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 18:12
An: statalist@hsphsun2.harvard.edu
Betreff: Re: AW: st: AW: Simulate stepwise: Report coefficients from each
replication


In fact, Martin, I found a "trick" (ignore my lousy code for the 
groupings for the time being--I will update it).

So, Stata does "kick-out" coefficients that are not common. For 
instance, in the code I gave you before, it only identifies 5 betas from 
the simulation.

. fsum,

Variable    N    Mean    SD    Min    
Max


                  
_b_x1    11    1.72    0.57    1.02    2.81    
_b_x2    9    1.77    1.30    -1.05    3.76    
_b_x7    17    1.35    0.40    0.76    2.38    
_b_x9    17    1.11    0.27    0.66    1.54    
_b_x5    13    1.22    0.37    0.84    2.14    
_b_cons    20    4.56    1.94    0.82    8.19    
_se_x1    11    0.78    0.11    0.58    0.98    
_se_x2    9    0.76    0.14    0.55    1.01    
_se_x7    17    0.41    0.04    0.36    0.49    
_se_x9    17    0.47    0.07    0.32    0.60    
_se_x5    13    0.46    0.07    0.36    0.59    
_se_cons    20    0.92    0.26    0.55    1.47    


However, I used -outreg2- to post the results of each simulation, and 
voilà, problem solved!  See new code below.

Best,
J.

clear
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"
outreg2 using low_low2, tstat parenthesis(tstat) tdec(2) rdec(2) bdec(2) 
excel

end

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

____________________________________________________

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 17:31, Martin Weiss wrote:
 > <>
 >
 >
 > What is your complaint, BTW? You get a red cross marker from -simulate-
 > whenever one of the coefficients was dropped by -stepwise-. Which makes
 > sense to me.
 >
 > What is " x1_count" and sister variable good for in your -program-?
 >
 >
 > The high/low variables can be created as one-liners:
 >
 > *************
 > gen byte x1_high= _n > 177
 > *************
 >
 > Have you thought about the interaction between the two -seed-s that 
you set?
 >
 >
 > 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 17:07
 > An: statalist@hsphsun2.harvard.edu
 > Betreff: Re: st: AW: Simulate stepwise: Report coefficients from each
 > replication
 >
 > 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,
 >>
 >>  
 > *
 > *   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/
 >
 >
 > *
 > *   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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