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RE: st: obtaining AUC at each iteration when bootstrapping a logistic reg ression model


From   "David Harrison" <[email protected]>
To   <[email protected]>
Subject   RE: st: obtaining AUC at each iteration when bootstrapping a logistic reg ression model
Date   Tue, 20 Jul 2004 16:27:32 +0100

The following returns (in addition to the AUC) a 0/1 variable for each candidate variable from the stepwise model which is 1 if the variable is included in the final model and 0 if it isn't:

 program myboot, rclass
 sw logit for rep wei len turn, pr(.05)
 matrix B=e(b)
 local finvars : colfullnames(B)
 lroc, nograph
 return scalar area=r(area)
 foreach v of varlist rep wei len turn {
     return scalar `v'=(index("`finvars'","`v'")>0)
 }
 end

 clear
 sysuse auto
 sw logit for rep wei len turn, pr(.05)
 lroc, nograph
 bootstrap "myboot" r(area) r(rep78) r(weight) r(length) r(turn), reps(5) saving(bootresults) replace

 clear
 use bootresults
 list

Hope this helps,

David
[email protected]

-----Original Message-----
From: [email protected] [mailto:[email protected]]
Sent: 20 July 2004 15:59
To: [email protected]
Subject: RE: st: obtaining AUC at each iteration when bootstrapping a
logistic reg ression model


Thanks, this works very well for me. I used this routine in a stepwise
regression analysis. I wonder whether it is possible to count how many times
a certain variable is selected out of the total number of bootstrap
repetitions. If so, does anyone know how to implement this in the rclass
program below?


-----Oorspronkelijk bericht-----
Van: May Boggess [mailto:[email protected]]
Verzonden: vrijdag 9 juli 2004 17:42
Aan: [email protected]
Onderwerp: Re: st: obtaining AUC at each iteration when bootstrapping a
logistic reg ression model


On Friday, Marieke asked:

> In order to validate internally and asses overfitting in a logistic
> regression model, I performed bootstrapping. However, I noticed that it is
> impossible to get the AUC (from lroc) for each repetition. Does anyone
know
> how I can solve this.
> 
We can write a small rclass program to save the area each time.
Here is an example:

 program drop myboot
 program myboot, rclass
 logit for rep
 lroc, nograph
 ret list
 return scalar area=r(area)
 end

 clear
 sysuse auto
 logit for rep
 lroc, nograph
 bootstrap "myboot" r(area), reps(5) saving(bootresults, replace)

 clear
 use bootresults
 list

--May
 [email protected]



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