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st: bootstrap and model building


From   Sunday Clark <sunday.clark@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: bootstrap and model building
Date   Fri, 14 Oct 2011 09:02:56 -0400

I saw model building approach using bootstrapping and I am wondering
if it is possible to do it in Stata. I would like to bootstrap either
a stepwise or a manual model building procedure to determine which of
the factors considered for inclusion in the model should be retained
in the final model. Ideally I would like to determine which factors
are significant at p<=0.05 in more than 50% of the bootstrap samples.
For example, stating that var1 was retained because if was significant
in 90 of 100 bootstrap samples and var2 was not retained because it
was only significant in 30 of 100 bootstrap samples. Is it possible to
do this in Stata? If so, do you have any suggestions for how to code
this? Thank you.

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