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Re: st: Program to drop insignificant variables from an equation

From   Richard Williams <[email protected]>
To   [email protected], [email protected]
Subject   Re: st: Program to drop insignificant variables from an equation
Date   Wed, 20 Aug 2008 09:38:31 -0500

At 05:44 PM 8/19/2008, XandeR XandeR wrote:
I want to make a script that automatically one by one drops insignificant variables from a regression, starting from the most insignificant one. I am currently writing MSc dissertation and I am running regression with 3 variables and 312 dummies not all of which are significant. So it would be a great help if the STATA could do it for me.
The syntax of the regression is:
As Martin W. notes, you can use stepwise regression. However, while I, unlike many, personally feel SW occasionally has some redeeming social value, with 312 dummies I imagine you will really be capitalizing on chance a lot. It also wouldn't surprise me if it takes a few years to run if it runs at all.

Depending on what these dummies are (e.g. 313 companies?) you may want to look at commands like areg or xtreg. Or, maybe you don't really need so many dummies.

For more on the problems with stepwise, see

Richard Williams, Notre Dame Dept of Sociology
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