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st: RE: All-possible-regressions procedure
> Does Stata have an all-possible-regressions procedure, for
> use in model
> building in multiple regression?
I wrote a program -allpossible-
which does this to a limited extent.
It's really a wrapper that runs
lots of regressions or similar
and prints out selected results, but
it has strict limits.
I also wrote a program -selectvars-
which is, indirectly, one of the
tools you need if you want to knit
your own and cycle through subsets
Both are on SSC.
However, I have not written anything
to select "best" regressions in any
sense whatsoever, not only because
that is much more difficult to program,
but also because it's against my religion.
(I am not aware anyone else did either.)
In fact, before someone starts thinking
"gun manufacturer" I will stress that my
own motivation for writing -allpossible-
was the complete opposite of what I take
to be a common motivation for using
such programs. I wanted to show that
a variety of models were, in a class of
problems, almost equally good in terms
of various criteria. The naive opposite
is, naturally, the idea that one can
automate the selection process completely.
I'll add a standard rider. No such program
can cope adequately with the combinatorial
explosion(*) of possibilities. Even
trimming matters down to whether each
predictor is in or out of the model,
then 20 predictors give you 2^20 ~ 10^6
models, and it's pretty hard to keep
track of a million sets of model results.
(20 predictors is perhaps a small model
by many analysts' standards). Even 2^10
is more than I want to compare.
(*) A nice term. When was it introduced?
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