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Re: st: Backward Selection (AIC) with xtmixed
From
John Antonakis <[email protected]>
To
[email protected]
Subject
Re: st: Backward Selection (AIC) with xtmixed
Date
Mon, 18 Jul 2011 17:58:03 +0200
See:
http://www.stata.com/support/faqs/stat/stepwise.html
See also: Antonakis J. & Dietz J. (2011). Looking for Validity or
Testing It? The Perils of Stepwise Regression, Extreme-Scores Analysis,
Heteroscedasticity, and Measurement Error. Personality and Individual
Differences, 50(3), 409-415. http://dx.doi.org/10.1016/j.paid.2010.09.014
Will be happy to send it to you (or anyone else interested off-line).
Best,
J.
__________________________________________
Prof. John Antonakis
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
http://www.hec.unil.ch/people/jantonakis
Associate Editor
The Leadership Quarterly
__________________________________________
On 16.07.2011 21:08, SR Millis wrote:
The problems with the various flavors of stepwise variable selection (including forward and backward selection) have been discussed quite exhaustively on Statalist (search the archives). In short, the models/variables selected by stepwise methods tend to be unstable and often do not replicate well.
Scott Millis
--- On Fri, 7/15/11, Allan Kennedy<[email protected]> wrote:
From: Allan Kennedy<[email protected]>
Subject: Re: st: Backward Selection (AIC) with xtmixed
To: [email protected]
Date: Friday, July 15, 2011, 10:53 PM
Could you provide a deeper rationale
as to why this approach is not
recommended?/
On Fri, Jul 15, 2011 at 10:44 PM, SR Millis<[email protected]>
wrote:
This procedure is not recommended.
~~~~~~~~~~~
Scott R Millis, PhD, ABPP, CStat, PStat®
Professor
Wayne State University School of Medicine
Email: [email protected]
Email: [email protected]
Tel: 313-993-8085
--- On Fri, 7/15/11, Allan Kennedy<[email protected]>
wrote:
From: Allan Kennedy<[email protected]>
Subject: st: Backward Selection (AIC) with
xtmixed
To: [email protected]
Date: Friday, July 15, 2011, 10:36 PM
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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