Re: st: ...stepwise regression...

[David Vaughan <dvk@dvkconsult.com.au>]

On 15/04/2004, at 16:33, Conroy <rconroy@rcsi.ie> wrote:

> on 13/04/2004 10:42, fabiopericolini@fastwebnet.it at
> fabiopericolini@fastwebnet.it wrote:
>
> > I have read the FAQ file on Stata Site. I share their (Harrel & 
> > Conroy)
> > view on this point, but I have to set a interpretation model of a 
> > dipendent
> > variable and I have more than 500 indipendent variables. I have 
> > select the
> > more correlate variables but I need a procedure to select the most 
> > explanatory
> > variables.
> > If I don't apply the sw linear regression I don't know how select the
> > indipendent
> > variables. I have to do.
> If you have 500 predictor variables you are probably in a fishing
> expedition. If so, you must think of some useful strategies for 
> reducing
> these to a list of candidates.
If you really want a hands-off approach and have some money to spare 
then have a look at Knowledgeminer X. It is certainly not a Stata 
replacement but appears to be a niche tool for your sort of problem.

If you insist on sw, get hold of Velleman's discussion of the topic in 
the manuals to Data Desk. He provides an approach which attempts to 
maintain statistical sanity at each step (as Ronan Conroy suggests in 
his own discussion) rather than handing the whole task over to a 
computerised shotgun.

cheers
David

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