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st: Backward Selection (AIC) with xtmixed


From   Allan Kennedy <dkstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Backward Selection (AIC) with xtmixed
Date   Fri, 15 Jul 2011 22:36:03 -0400

Greetings,

I am interesting is using an automated command that will estimate
model fit with a backward selection model with AIC of an --xtmixed--
approach. I know that both --stepwise-- and --swaic-- both do not
support xtmixed but I wanted to see if there were any other user
written programs that support --xtmixed--. An example of my code is as
follows:

xtmixed OUTCOME  10PREDICTORS  CONTROL VARIABLES ||RANDOM_1:
||RANDOM_2: ||RANDOM_3: , covariance(unstructured) var mle

I would like to estimate the lowest AIC model of any combination of
the 10 predictors.

Your assistance would be greatly appreciated.


--AK
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