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st: Dropping variables in regression equations based on R-Squared value
From
George Murray <[email protected]>
To
[email protected]
Subject
st: Dropping variables in regression equations based on R-Squared value
Date
Sat, 20 Jul 2013 16:45:52 +1000
abcde
Dear Statalist,
I am running numerous regressions in the following form:
foreach x of varlist var1-var5000{
quietly reg `x' var5001
display "`x'" `e(r2)'
quietly reg `x' var5002
display "`x'" `e(r2)'
}
Where e(r2) displays the R-Squared of each regression.
If *either* of the above regression equations have an R-Squared
greater than 0.95, I want to drop the variable `x' . For example, if I
regress var500 on var1001, and then on var1002, and *either* of the
regressions have an R-Squared value over 0.95, I wish to delete
var500.
Does anyone have a way of doing this? I’m doing this manually at the
moment, but is taking far too much time, and of course, it would be
better if I could find a way to do this with the code.
Thank you.
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