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Re: st: tuples, stepwise and counting types of variables


From   Thomas Sohnesen <sohnesen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: tuples, stepwise and counting types of variables
Date   Mon, 13 Aug 2012 20:24:21 -0400

Thanks Nick

For this exercise i'm not interested in the coeffiicents or their
meaning, i'm looking to find a parsimonouce model for predictions.
Any advice on a better alternative than stepwise?  Doing it manually
is not really an option as we will be running a lot of different
models. Further, though my data is organized in blocks i would like to
keep single variables if they are highly correlated with my dependent
variable. I believe SAS has an alernative in MAXR. Do you know if
stata has a similar alternativ?

Finally, no matter which alternativ we end up using, i still have the
challange of counting number of variables from each block in the final
model. Any insights on that?

thanks and best

Thomas


On Mon, Aug 13, 2012 at 5:30 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> I belong to a club which is dedicated to advising people against using
> -stepwise-. A -search- will find an FAQ on this question.
>
> I'd look at -nestreg- instead.
>
> Nick
>
> On Mon, Aug 13, 2012 at 10:18 PM, Thomas Sohnesen <sohnesen@gmail.com> wrote:
>
>> I have a number of "groups" of variables as examplified below.
>>
>>
>> local gr1  x1 x2 x3 x4
>>
>> local gr2  x5 x6 x7 x8
>>
>> local gr3  x9 x10 x11 x12 x13 x14 x15
>>
>> local gr4    x16 x17
>>
>>
>>
>> I run stepwise regressions for all the combinations of these groups
>> using tuples.
>>
>> tuples "`gr1'" "`gr2'" "`gr3'" "`gr4'" , display
>>
>>                 forval i = 1/`ntuples' {
>>
>>  qui stepwise, pr(0.05):  regress y `tuple`i''
>>
>> }
>>
>>
>>
>> Now i would like to count how many variables from each group that
>> stayed in the step wise model.
>>
>>
>>
>> For instance in the stepwise regression of gr1 and gr2  (ei x1 x2 x3
>> x4   x5 x6 x7 x8) only x3 x4   x5 was included in the regression.  I
>> would then like an output along the lines of:
>>
>> Model     Num_var_gr1     num_var_gr2  num_var_gr3  num_var_gr4
>>
>> gr2 gr3        1                           2                     0
>>                 0
>>
>> gr2 gr4
>>
>> gr1 gr2
>>
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