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st: 95% CI's for Stepwise Regression (-swboot-)


From   "rasool.bux" <rasool.bux@aku.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: 95% CI's for Stepwise Regression (-swboot-)
Date   Fri, 23 Nov 2012 12:32:18 +0000

Dear Statalist users,

How could I get 95%CI's for stepwise regression model. I found -swboot- but it is not giving any estimates. Is there any simple way to get 95%CI's for sw regression.  I am doing the following procedures to get CI but I am not sure that is this a correct way or not.

Procedure #1
==========
1. I am running sw regression
2. Saving predicted values
3. Running bootstrap with regress using yvariable and yhat variable.
4. This is giving the CI's but the Observed RMSE is different from the original as in #1 and I think it is b/c of degrees of freedom.

Prorcedure #2
============
1. I am running sw regression
2. Running bootstrap with regress using yvariable and those variables which are kept by the model.
3. This is giving the same observed RMSE as in #1.

I am not clear Which CI's should I report and which method is appropriate and correct. Kindly help me in this regard

Thanks
Rasool Bux
"Data is not information. Information is not knowledge. Knowledge is not understanding. Understanding is not wisdom."


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