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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 21:33:01 -0400

Thanks Nick

My question is how do i generate the "used" list after using stepwise
regression?  Stepwise (or another automated variable selection method)
decides which variables stay in the model.  I've counted the number of
variables in e(df_m), but i believe i need to save the actual names of
the variables that stay in the regression to use your suggested
approach.

thanks again
Thomas
On Mon, Aug 13, 2012 at 8:36 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> I can't comment on analogues to MAXR as I am not familiar with SAS.
>
> For counting how many of a list are in another list, you can find the
> intersection of two lists using
>
> : list a & b
>
> as documented at -help macrolists-. and then count them.
>
> For example,
>
> local availablex "x1 x2 x3"
> local usedx "x2"
> local inter : list availablex & usedx
> di `: word count `inter'
>
> Nick
>
> On Tue, Aug 14, 2012 at 1:24 AM, Thomas Sohnesen <sohnesen@gmail.com> wrote:
>> 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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