Two comments here:
1. You can treat all dummies (or all dummies created from a single
variable) so they are either dropped or included - it looks like
sw,pe(.2): reg y x1 x2 x3 (dummies)
2. If you have missing values, the stepwise will be run on complete
cases only. This can result in severely biased estimates. In one
example, I had 145 cases, but when I tried stepwise, I only had 77
variables. This, of course, will be true of any regression command. I
suggest using multiple imputation and then doing stepwise on each data
set. The difference is striking.
In general, stepwise regression leads to a biased regression, so it's
been suggested by Tibshirani (hearsay evidence) that variables that
don't enter the equation be given coefficients of 0. Another
alternative is LARS - there is a lars command written by Mander (I
almost type Lander!)
Tony
Peter A. Lachenbruch
Department of Public Health
Oregon State University
Corvallis, OR 97330
Phone: 541-737-3832
FAX: 541-737-4001
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Maarten buis
Sent: Wednesday, August 20, 2008 5:49 AM
To: [email protected]
Subject: Re: st: Program to drop insignificant variables from an
equation
--- XandeR XandeR <[email protected]> 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.
When you drop a dummy variable the interpretation of the results change
dramatically as this will change the reference categorie. So I would
strongly recommend you do not do that.
-- Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
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