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Re: st: alternative to SW in Stata


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: alternative to SW in Stata
Date   Sat, 14 Jul 2012 17:42:45 -0400

Ricardo:

Read Chapters 4 and 5 of Frank Harrell's book "Regression Modeling Strategies", Springer Press. To cluster variables, see: http://www.stata.com/statalist/archive/2005-07/msg00620.html


There is also a literature on bootstrapping a stepwise process, though I have no references handy.  The idea is to measure the stability of model selection by  evaluating for each variable,  the proportion of samples in which it is "selected".  For logistic and linear regression, this is done by he contributed command -swboot- (SSC).  


Steve
sjsamuels@gmail.com


On Jul 12, 2012, at 3:54 PM, Ricardo Ovaldia wrote:

Thank you for the siuggestion David. However, the idea is to identify those (risk factors) variables that are most highly associated with time to failure. By creating factors scores using factor analysis, I lose the ability to identify these important variables individually. 

Ricardo

Ricardo Ovaldia, MS
Statistician 
Oklahoma City, OK


--- On Thu, 7/12/12, David Greenberg <dg4@nyu.edu> wrote:

> From: David Greenberg <dg4@nyu.edu>
> Subject: Re: st: alternative to SW in Stata
> To: statalist@hsphsun2.harvard.edu, ovaldia@yahoo.com
> Date: Thursday, July 12, 2012, 2:41 PM
> If some of your predictors can be
> understood as multiple imperfect
> indicators of an underlying latent variable, you could
> create a scale
> by doing a factor analysis of your predictors, and using the
> factor
> scores in the Cox regression. David Greenberg, Sociology
> Department,
> NYU
> 
> On Thu, Jul 12, 2012 at 2:55 PM, Ricardo Ovaldia <ovaldia@yahoo.com>
> wrote:
>> Hello,
>> 
>> We recently submitted a manuscript where we use -stcox-
> and the stepwise procedure to reduce the number of potential
> risk factors from 30 to 5. One reviewer commented that using
> stepwise was inappropriate but did not provide an
> alternative other than to say that we should retain all 30
> factors. Giving our sample size (n=1000 and 105 failures)
> retaining all the factors would result in an over-fitted
> model. I know that there are limitations to using stepwise,
> many already discussed on statalist, bt we felt that the
> results we obtained were reasonable based on the science and
> current literature. However, what would be an alternative to
> SW for –stcox-? Is there a command in Stata or can someone
> suggest an acceptable method to generate a more parsimonious
> model?
>> 
>> Thank you in advance,
>> Ricardo
>> 
>> 
>> Ricardo Ovaldia, MS
>> Statistician
>> Oklahoma City, OK
>> 
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