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Re: st: Model Building


From   "Justina Fischer" <JAVFischer@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Model Building
Date   Tue, 26 Apr 2011 14:14:23 +0200

Dear Stefan,

your question is a bit out of the scope of this list - we discuss specific methodological issues only.

You could select important variables through a general-to-specific approach. 

However, in general it is better to make a theory-based selection.

Good luck

Justina



-------- Original-Nachricht --------
> Datum: Tue, 26 Apr 2011 14:07:38 +0200
> Von: Stefan Nijssen <stefannijssen@gmail.com>
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: Model Building

> Dear Statalist members,
> 
> I am trying to find the best indicators (independent variables,
> corporate fundamental data) to predict the dependent variable (the
> risk factor; 'oas'). I want to create a model with as few variables as
> possible to best predict 'oas'. So I need to make a selection of all
> variables available, see below. However, first thing to do seems to be
> finding the correct form with which the independents interact with the
> dependent. Plotting the variables separately with 'oas' I find some of
> them to be linear, some clearly quadratic and others fractional
> polynomial. To me it seems logical to converge the variables into
> their correct form as to best work with them, puzzling which to
> include and which not. I thought of using the .reg function to test
> the function. I do not see how to create a quadratic variable (other
> than generating var*var), and fractional polynomial will be even more
> difficult, before using them in the regression. Can anyone provide
> suggestions on what to do?
> 
> After doing so, I was thinking of using Multiple Discriminant Analysis
> to reduce the number of variables.
> 
> Yours,
> 
> Stefan Nijssen
> 
> 
> The dataset:
> 
> 
> oas	ebit	sales	intcov	totass	totdeb	ltdeb	totcap	worcap	margin	operex	dtoe	equity	lev	rating2
> 85	5380643	28251654	13.19	43681540	14452051	10497732	30656052	6427401	14.15	24461264	71.32	20265092	0.52	2
> 303	281856.9	2665473	3.54	3796766.31	1508258.5	1315873.5	3223983	68471	7.31	2550578.3	79.66	1893310.5	0.7	6
> 463	1364563	7401812.5	3.08	22017880	7853000	6879250	14402250	291750	7.88	6122000	107.53	7302908.5	0.94	4
> 198	2647250	13573438	3.09	44021380	17441250	15316000	27260250	-1575500	8.91	11377000	148.59	11738033	1.3	4
> 269	3704500	14422250	2.07	35880445.63	18933500	17032000	25258250	2136250	3.23	11825250	448.16	4224695.5	4.03	4
> 427	173537.5	6206356	2.37	4271637.5	639125	635425	1476400	1042875	0.56	5841525	77.84	821048.94	0.77	5
> 135	1641008	19334660	12.26	21852596.13	3422023.5	1842737.8	9437302	838316.31	5.18	18850387	45.76	7479015.5	0.25	4
> 145	4551831	44197292	3.18	72634330.63	19065608	15252120	40214560	8678020	7.76	40345364	77.59	24572248	0.62	3
> 150	4194342	14754657	5.45	28717164	13835568	11898647	19494606	3414371.8	18.76	11092639	218.77	6324361.5	1.88	3
> 140	1438059	3687984.5	1.49	24024376.88	17841316	16468203	21458064		12.31	3140013.3	521.25	3422778.3	4.81	3
> 220	203325.6	676520.69	1.15	7101090.5	3507231	2940892	6296144		13.52	618380.5	134.85	2600887	1.13	4
> 256	4631625	12534625	4.86	50502630	13211750	12422000	31765500	979500	20.93	8783500	70.73	18680452	0.66	4
> 138	261468	829771.25	1.51	7099677.69	3731297	3351377	6441615		34.88	710694.5	122.2	3053434.5	1.1	4
> 148	261468	829771.25	1.51	7099677.69	3731297	3351377	6441615		34.88	710694.5	122.2	3053434.5	1.1	4
> 695	82975.38	904324.31	1.14	1665280.06	775164.75	741634.5	1455926.9	-8168.0601	0.28	899990	113.89	680625.81	1.09	6
> 94	216452.8	1611485.3	3.15	2646279.44	1288793.6	1276829.4	2134875.8	424008	4.87	1539896	151.24	852151.31	1.5	6
> 394	71108.94	470080.44	1.45	790061.69	497222.25	497222.25	691091.25	125072.25	3.06	405778.5	269.81	184284.36	2.7	6
> 121	3494500	15628314	6.26	35815069.38	9345333	8841667	20532666	-706000	11.92	12375667	79.9	11696775	0.76	4
> 340	205203.3	593503.31	9.72	1973646.38	934802.25	923577.25	1677409.8	-89585.25	18.62		122.96	760249.06	1.21	6
> 166	889048.6	1494797.3	2.82	11312311.38	6567463.5	5966816.5	10616108		38.11	444483.75	164.13	4001440	1.49	4
> 583	176160.1	308049.94	4.86	1076181.94	591622.5	349243.75	743215		27.91	1214527.3	159.18	371663.03	0.94	5
> 180	1447188	18371130	11.08	41088878.75	2391000	2151000	7259000		5.24	4664822	49.77	4803857.5	0.45	4
> 450	541709	6160482.5	2.85	8880104	4277432	3606781	6622840	1553109.5	2.34		223.4	1914718	1.88	5
> 298	3863553	77601392	2.44	85151294.19	31085222	18770020	34849728	6661573.5	1.52	17478500	208.22	14929207	1.26	5
> 128	1534585	9863095	4.59	10252978.56	4923419.5	4713170	6494518	777069.5	8.59	6020838.8	298.73	1648123.8	2.86	4
> 274	460957.8	4364300	10.08	14315121.25	1396855	883192.75	4599718		8.27	8585884.3	39.18	3564997.3	0.25	4
> 53	2605694	18664554	9.39	18346915	6482850	5699125	11169575	1040000	9.47	7014269.5	131.28	4938091.5	1.15	3
> 181	525481.3	2691643.8	38.87	3703062.5	800775	800775	3187250	629400	13.14	3851485.5	33.25	2408527	0.33	4
> 434	304058.6	8118761	7.02	3632280.88	1160131.8	1101497	2577599	1261795.5	1.47	16293825	79.96	1450958.1	0.76	4
> 286	531000	6554125	1.26	14792500	6698000	6041000	8780000	719666.69	1.59	2532000	280.79	2385441	2.53	5
> 122	1228381	9417844	7.81	12637412.5	4106456.3	3509531.3	8877925	611050	9.21	5949666.7	79.18	5186393	0.68	3
> 135	7207145	26375682	5	76487644	41771588	36765752	66292060	-5526529	11.74	8008593.8	151.55	27562908	1.33	4
> 153	7169938	29623442	2.66	132017312.5	71461000	45556248	58932752		10.66		548.05	13039079	3.49	3
> 138	2290250	10252062	16.78	15527253.13	1828187.5	1676500	11110500	3320000	14.48	21547524	19.38	9433068	0.18	3
> 357	1276806	15411878	1.81	24708428.75	11674496	5704248	12501244	3870498.5	2.23	25365250	173	6748263.5	0.85	5
> 198	175700.8	1007057.3	2.63	3038026.31	1233305.8	1148982.5	2275610.8	133983.5	13.72		108.62	1135431.5	1.01	4
> 148	302575	3533750	6.92	3164375	957000	817000	2513250	548750	4.61	8107937.5	56.22	1702165.5	0.48	4
> 475	99679.25	1465177	1.81	1858617.19	748078.25	742457.75	1568498.5	313015.75	-0.95	14234758	90.51	826491.63	0.9	6
> 289	2436011	27316448	4.6	28189748.88	8609682	7675119	20332920	3673255.8	5.42	865382.5	69.78	12338324	0.62	4
> 103	2452813	10048750	5.11	26310131.25	7940250	7482000	16065750	207500	13	1933380.3	92.79	8557226	0.87	4
> 135	476165.8	1923645	7.62	2265192.5	1438719.3	1311237.5	1466039.4	514408.94	18.31	25573162	297.72	483245.78	2.71	4
> 123	2574000	11116812	10.43	153419556.3	33804752	5405250	19493000		5.13	7645500	254.22	13297439	0.41	3
> 253	830500	11135625	3.18	15503938.75	3523000	3214500	9670000	1689500	7.75	79675488	55.41	6358632	0.51	4
> 210	5349000	20837010	4.72	60373010					16.07	34782286				3
> 90	1939410	4605238	25.42	14894076.5	2775585.3	2702085.3	11760652	240683	26.16	1486366.5	29.26	9486748	0.28	3
> 295	210577	880666.25	0.79	8760320.75	5247260	4437147.5	7444190		-2.57	8077500	225.08	2331312.8	1.9	5
> 220	1270822	26866490	4.22	13348663.75	3895161.5	3553098.3	9396833	213236	2.27	9792500	65.25	5969596	0.6	4
> 185	1270822	26866490	4.22	13348663.75	3895161.5	3553098.3	9396833	213236	2.27	9792500	65.25	5969596	0.6	4
> 237	1213502	7020566	8.06	8162819.31	3180375	3008315	6756995	342366.75	8.14	3416891.3	86.02	3697358	0.81	4
> 111	891058	3396809.8	4.04	9885560	3760772.8	3623771.3	8834517	526434.5	10.02	809219.5	83.96	4479243.5	0.81	4
> 135	2280688	12996000	2.96	40561443.13	11723500	10693500	21409250	1287500	8.76	26055367	122.16	9596644	1.11	3
> 394	764500	4659875	0.72	23815319.38	13790250	13193500	18387000	-646000	3.06	26055367	431.41	3196571.8	4.13	5
> 395	148101	1340106.8	4.86	1958709.31	505149.5	490077	1696372.8	532718.75	7.45	5944816	41.81	1208202.6	0.41	5
> 242	883022.4	7233008.5	4.46	9438240.25	6107244.5	6066794.5	10428866	238687.25	5.2	2475224.3	146.53	4167819.3	1.46	4
> 172	2340448	11540884	3.61	35344855	11808253	10971290	19517114	1249746.5	10.48	10630750	143.54	8226454.5	1.33	4
> 234	121671.3	1099781.5	3.15	3085560.06	803425.75	698507.63	2078448.5	992426.06	7.4	2785500	58.16	1381510	0.51	5
> 184	2841823	15281568	3.86	40004167.94	17852298	14944255	24606332	-4342231.5	13.36	1272444	226.75	7873097	1.9	4
> 151	7169938	29623442	2.66	132017312.5	71461000	45556248	58932752		10.66		548.05	13039079	3.49	3
> 397	657883.1	2219391.3	1.8	7770782.31	5632487	5559101	7325540	34978	9.15	9446279	752.49	748515.69	7.43	5
> 403	-149778.2	1765832.5	-3.06	779485.94	337975.5	315692.5	468990	200225.5	-14.17	943569.19	437.64	77226.828	4.09	5
> 111	1874938	5725187.5	20.17	16386063.13	1866250	1808250	16321750	4051000	51.21	15559530	13.25	14087564	0.13	4
> 254	1450000	18632000	2.37	22328000					3.01	25365250				5
> 495	167043.8	3405106.3	0.93	4236662.5	2610375	2593175	3129425	354350	-1.69	1880957.8	660.03	395491.88	6.56	6
> 282	489044.6	1045975.8	1.53	11641917.63	5937713	5483499.5	11472368		41.14	1852443.5	120.51	4927358	1.11	4
> 88	6313813	75159320	11.51	46344378.75	11193250	9788250	28615312	2874750	4.8	4830750	60.11	18622440	0.53	4
> 673	208767.2	1667810.8	3.63	4546824.94	1645275	1597527.8	3205995.3	223982	2.09		119.55	1376223.4	1.16	6
> 174	3437022	16215220	20.79	22440903.44	2870735.8	2700069.5	15749543	553035.44	15.19	3464900	22.07	13010359	0.21	4
> 291	620937.5	4919500	1.58	12033875	5722750	5328250	11385000		5.69	899246	99.49	5752085.5	0.93	5
> 251	635663.2	5151291.5	2.3	11796880.63	4114660	3877029	7108709	625312	4.83	66319563	128.3	3207061.5	1.21	3
> 167	2272879	4815855	3.23	23966016.5	15652777	13834359	19795184	-1222408.3	17.89	4711750	315.43	4962361.5	2.79	3
> 362	1003063	12248125	2.37	19027438.75	8657250	8311250	11229000	1662750	3.42	28858140	304.93	2839094.3	2.93	4
> 331	463412.5	6453806	2.42	11235206.25	2038125	1763075	4383075	655125	2.54	2585588.2	103.16	1975788.9	0.89	5
> 103	5324313	20861712	5.36	32989254	13284815	11314448	22144602	-1795919.3	14.67	11037750	125.72	10566881	1.07	3
> 141	1015455	2310940.5	3.55	10346050.81	5348817	4468707	6851732.5	-1116425	25.63	6050225	226.44	2362108.3	1.89	4
> 249	2698201	66511396	5.52	55476209.69	8321952	6954835	21678672	5420935	1.6		67.71	12290354	0.57	4
> 177	308608.8	4755793.5	5	7111222.56	2697911.3	2422615.5	4696201.5	155167.75	2.97	45529518	122.28	2206399.3	1.1	4
> 158	208231.3	1145226.5	2.61	5489118.69	3711619.5	2487834	4474727.5	290544.31	7.84	4836920.7	215.55	1721909.8	1.44	4
> 228	214846.5	1954261.5	14.83	1382212.69	303568.69	211785.5	919402.44	365864.19	7.69	24998013	42.97	706466.56	0.3	2
> 380	289061.9	2952063.8	13.45	41551293.13	1763195	1763195	4019890		6.47		65.41	2695604.8	0.65	4
> 62	1500929	6863926.5	33.75	8073281.06	1510279.3	1256916.8	6292660	2462186.5	15.58	45862000	29.81	5066563.5	0.25	3
> 124	4245063	64668880	8.07	55944753.75	10268500	9524250	12723500	-412500	4.1	67165934	141.78	7242559	1.32	3
> 90	934812.5	13388062	3.38	13214000	5620333.5	5001000	8263666.5	792000	3.54	79633947	295.58	1901437.9	2.63	3
> 110	1939410	4605238	25.42	14894076.5	2775585.3	2702085.3	11760652	240683	26.16	1486366.5	29.26	9486748	0.28	3
> 66	3574500	33506944	7.84	33455756.25	7570750	5821250	14858750	2200250	6.89	1747963.5	86.97	8705514	0.67	3
> 126	1519000	11223500	4.23	30125940.63	6946000	6210750	24405500	780000	14.75	2601187	38.49	18045074	0.34	3
> 139	249274.1	517294.5	2.53	3403218.81	2355742.8	2355742.8	3261016.3	46849.5	18.34	5501541.6	276.13	853120.44	2.76	4
> 135	1006275	10111125	9.08	9886887.5	2134675	922675	4769675	699100	7	60788000	57.17	3733744.3	0.25	4
> 158	1009592	8659594	11.25	5911334.31	2466590.8	2236040.8	3724760.8	1979503.1	6.41	12409000	177.08	1392895	1.61	4
> 190	285465.6	803813.44	1.39	9263513.5	4316608	3688907.8	8473394		34.31	3416891.3	117.32	3679423.5	1	4
> 161	1869978	43084524	3.59	20332604.38	5643430.5	4631572	12001716	1488398.4	4.53	29747000	89.03	6338796.5	0.73	4
> 138	797618.9	2740491.5	2.19	12481629.25	7343072	6740469.5	8567194	70079.938	10.97	9313000	414.8	1770257.4	3.81	4
> 378	460957.8	4364300	10.08	14315121.25	1396855	883192.75	4599718		8.27	8585884.3	39.18	3564997.3	0.25	4
> 382	117131.9	3833936.3	0.83	4487341.06	1745101.8	1701066.8	2285959.3	-563982.13	-0.03		142.1	1228074.6	1.39	5
> 151	208231.3	1145226.5	2.61	5489118.69	3711619.5	2487834	4474727.5	290544.31	7.84	4836920.7	215.55	1721909.8	1.44	4
> 116	4890063	42352820	3.52	56689880	31003250	20736750	29766500	6520750	6.26	36745457	382.07	8114494	2.56	3
> 82	3574500	33506944	7.84	33455756.25	7570750	5821250	14858750	2200250	6.89	1747963.5	86.97	8705514	0.67	3
> 524	24693.75	1917095.8	0.3	4842910.5	2551828.8	2541828.8	4099848	254309.75	-7.89	60745750	187.89	1358132.3	1.87	6
> 303	4118070	23985514	3.67	51368068.13	21624580	17601584	39221240	334194.25	7.86	3851485.5	112.13	19284846	0.91	4
> 228	192375	25146066	0.66	25793691.88	8960750	8366500	15105750	1661812.5	-2.61		152.57	5873326	1.42	5
> 184	737062.5	12185125	3.76	7940062.5	2796750	2672500	4059250	744000	2.48	61749079	202.87	1378575.3	1.94	4
> 423	87325	3822237.5	5.05	3747943.75	1763925	1663400	2597250	317500	-1.23	1315678.1	248.3	710393.56	2.34	6
> 379	466187.5	6489375	2.23	9104875	2264000	2219750	5570750	1026000	2.77		68.16	3321474.5	0.67	4
> 239	910430.2	4651478.5	11.83	10495100.56	4125771.5	3549718.8	8499786	943826.5	10.23	38088000	84.04	4909587	0.72	4
> 161	873406.3	7511375	2.17	18747916.25	7086275	5844600	10740275	-1059200	3.25	29747000	144.98	4887676	1.2	4
> 299	128830.6	211611	2.34	2496541.13	1058476.3	943312.5	2455482.3		62.8	2124596.3	74.81	1414886	0.67	4
> 132	3148250	30979816	3.47	58350691.88	13507750	12823500	40106752	7081500	6.43	19916489	51.82	26067302	0.49	4
> 401	249530.3	6599636	2.39	5629625	2183225	2073350	3227037.5	540962.5	-1.34	1606497	220.87	988477.25	2.1	6
> 188	618418.8	22678324	3.19	10654518.75	4798500	3664000	7591000	-94500	1.53	23114125	126.37	3797333	0.96	4
> 194	363687.5	1506875	2.52	4541187.5	2739250	2584250	4162500	229000	17.08	11248250	176.67	1550533.5	1.67	4
> 436	425768.3	2743437.3	2.18	6383088.81	3429510.5	3356849	5539840.5	734827.25	4.5	926003	157.96	2171160.3	1.55	6
> 109	1116125	12794875	7.67	13415937.5	3587250	2831750	6713750	2612500	4.7	3482675	97.8	3668132.3	0.77	4
> 199	1549438	7481125	3.38	22025568.13	9329000	8336250	14727500	480000	12.11	5877000	152.48	6118280	1.36	4
> 170	1077101	8174526.5	6.1	13861322.38	3615055.8	2985167.5	11307444	2278129	7.77	3665766.3	45.31	7978934.5	0.37	4
> 165	453263.9	5882251	3	6683572.69	2720900	2405980	3921994.5	-8847	2.89	6552875	182.63	1489822.5	1.61	4
> 334	258826.6	2780762.3	6.16	2541417.94	908823.25	870188.25	2027089.8	638870.25	4.53	148330	82.8	1097645.8	0.79	5
> 374	113606.7	1290720.5	1.78	2288817	940772.25	940772.25	2498224.8	-4847.25	3.39	27476250	83.56	1125864.4	0.84	6
> 256	4011163	9243569	12.94	29933565.63	13595250	10916250	28680500	564750	35.54	6614862.5	83.17	16346830	0.67	4
> 257	217241.4	3432849	3.89	3286244.25	972853.5	914663	2056043.9	804996.38	3.33	23099750	87.58	1110769.4	0.82	4
> 184	783656.3	5001044	3.98	12044120.63	5744125	5262175	11262750	-1042300	6.64	1095000	101	5687111.5	0.93	4
> 124	3056379	14357249	4.59	33342150.75	10234541	8194759	28248912	-2202470.3	12.42	11947750	53.22	19229048	0.43	4
> 216	1507000	4753312.5	2.42	22919816.88	10170750	8937750	16571000	-1147000	22.37	5857250	150.64	6751580.5	1.32	4
> 458	21857.75	593619.38	0.73	1671891.94	527680.25	527680.25	1276642	-20649.5	-10.31	7815249.8	72.47	728136.13	0.72	6
> 418	246312.5	2375625	1.69	3257500	1373000	1111250	1177500	256000	-7.26	5295897.3	150.4	912883.75	1.22	6
> 172	2724610	10471538	3.23	143644875	28758000	17949500	33301500		12.73	2519033.8	200.86	14317435	1.25	3
> 67	2368938	11843812	36.17	15418313.13	3845750	3457250	10297500	3752750	15.22	1126684.5	57.37	6703416.5	0.52	3
> 97	4194342	14754657	5.45	28717164	13835568	11898647	19494606	3414371.8	18.76	11092639	218.77	6324361.5	1.88	3
> 164	4685525	31993766	16.93	38542137.5	8315263.5	5365503	30877336	8984776	10.4	3126697.1	33.66	24701248	0.22	3
> 410	301443.8	3836112.5	7.63	3715100	818400	807975	2295050	1714600	5.18	4770100	53.81	1520906.9	0.53	5
> 316	341568.8	5010344	3.9	5824387.5	1349100	1158800	3171350	659925	3.69	35305000	67.53	1997778.8	0.58	5
> 404	578698.4	5225987	8.39	4608613.69	2322451	2096578.3	3923313.5	957641.25	5.96	12276334	130.45	1780372.1	1.18	5
> 103	280608.7	15248190	2.12	21072253.19	258442	41405.75	9153858	3116438.8	6.43	3336750	2.99	8643545	0	2
> 329	436017.8	2581652.5	2.03	7615322.38	3674574.5	3289975.5	5682647	-310964.25	7.84	2066750	162.23	2265040	1.45	4
> 93	2730482	6604610	20.19	19711947.31	6410276	4252670.5	15795402	-220168.5	23.81	9042250	55.98	11452034	0.37	4
> 187	256625	12630312	0.86	17435253.75	2786937.5	2722625	11590875	3395437.5	-2.54	9675750	32.06	8692372	0.31	4
> 310	420312.5	26868316	1.49	10527062.5	2925562.5	2717812.5	7616187.5	2085500	0.15	28906844	61.2	4780379.5	0.57	5
> 356	213760.8	5300887	0.91	6745382.88	1771588.3	1716921.3	4461061.5	1109570.6	-5.02	4636325	66.38	2668959	0.64	5
> 103	4000375	48595944	12.84	34264943.13	10314000	8615500	17293250	2912750	4.84		124.19	8305351	1.04	2
> 682	50437.5	4427812.5	-0.36	4294000	1836000	1784000	3107000	817250	-8.4	5169180	189.68	967933.25	1.84	6
> 516	2156274	7025522.5	10.23	16587407.25	6431164	5183735	15193346	4809816.5	8.81	13227272	153.69	4184486.8	1.24	5
> 232	1701713	10523356	2.53	25882452.5	8290750	8074750	16699000	817750	5.6		110.06	7533279	1.07	4
> 162	325877.5	1335745	3.8	3263892.19	2455750	2341250	3755373	-28002	21.52	2146270.5	72.58	3383391.3	0.69	4
> 503	-330050.9	846301.31	-0.4	4443735.75	1975863.8	1975863.8	3686029	161809	-17.04	4655089.4	164.26	1202906.3	1.64	6
> 600	468432.4	894199	18.1	3639089.63	1161216.8	939615.31	2960341		18.6	11051563	77.18	1504654	0.62	5
> *
> *   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/

-- 
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim

homepage: http://www.justinaavfischer.de/
e-mail: javfischer@gmx.de
papers: http://ideas.repec.org/e/pfi55.html


*
*   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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