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From |
steven quattry <sjq2102@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: RE: RE: do file: t-score, dfuller, to sw regress |

Date |
Thu, 9 Dec 2010 15:13:31 -0500 |

Thank you Nick for your comments, and apologies to all for being unclear. I fully understand if this leads many to ignore my original post. However if I may re-attempt to explain, essentially I have a do-file created with the help of Statlist contributors that performs bi-variate regressions, sorts the independent variables by t-score and removes those below a certain threshold. It then runs a Dfuller test and further removes variables that do not pass the critical level, and finally there is code that essentially removes any variables that have blanks. I would like to be able to learn of a way to then take this output and sort the resulting variables by t-score, then keep only the 72 variables with the highest t-score, and run a sw regress with those variables. My current code is below. Again, I sincerely apologize for being unclear and would appreciate any feedback but understand if I do not receive any. Also Nick, I assume you do not have the time to go into the spuriousness of the above process, but if you were able to direct me to a certain chapter in a well known stats text, or even an online resource I would be quite thankful, however I fully understand it is not your role. Thank you for your consideration, -Steven I am using Stata/SE 11.1 for Windows * 2.1 T-test and Dickey-Fuller Filter ************************************** drop if n<61 tsset n tempname memhold tempname memhold2 postfile `memhold' str20 var double t using t_score, replace postfile `memhold2' str20 var2 double df_pvalue using df_pvalue, replace foreach var of varlist swap1m-allocglobal uslib1m-infdify dswap1m-dallocglobal6 { qui reg dhealth `var' matrix e =e(b) matrix v = e(V) local t = abs(e[1,1]/sqrt(v[1,1])) if `t' < 1.7 { drop `var' } else { local mylist "`mylist' `var'" post `memhold' ("`var'") (`t') } } postclose `memhold' foreach l of local mylist { qui dfuller `l', lag(1) if r(p) > .01 { drop `l' } else { local mylist2 "`mylist2' `l'" post `memhold2' ("`l'") (r(p)) } } postclose `memhold2' keep `mylist2' log on use t_score,clear gsort -t l use df_pvalue, clear l log off restore * 2.2 Missing data Filter ************************** preserve drop if n<61 foreach x of varlist `mylist2' { qui sum `x' if r(N)<72 { di in red "`x'" drop `x' } else { local myvar "`myvar' `x'" } } sum date keep if date==r(max) foreach x of varlist `myvar' { if `x'==. { drop `x' } else { local myvar2 "`myvar2' `x'" } } log on d `myvar2' log off restore * 2.3 Stepwise Regressions *************************** preserve drop if n<61 *Simultaneous Model local x "Here is where I paste in variables after sorting by t-score and keeping only 72 highest" log on sw reg dhealth `x', pe(0.05) vif * * 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/

**Follow-Ups**:**Re: st: RE: RE: do file: t-score, dfuller, to sw regress***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

**st: RE: do file: t-score, dfuller, to sw regress***From:*Steven Samuels <sjsamuels@gmail.com>

**References**:**st: do file: t-score, dfuller, to sw regress***From:*steven quattry <sjq2102@gmail.com>

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