One situation where you might want to consider all subsets (possibly of
a given size) is where you are trying to approximate a deterministic
function with as few terms as is "reasonable". In this case, there is no
"true" model or statistical inference to be made. For example, I may
have a table of values of predictors and a function of these predictors
obtained by some proprietary software and I am just trying to find a
cheap approximation to the function using a linear combination of a
small number of the predictors (or transformations of the predictors).
Al Feiveson
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of SR Millis
Sent: Wednesday, September 24, 2008 2:04 PM
To: [email protected]
Subject: RE: st: Find all subsets of variables
I agree. I can't imagine why anyone would want to use all-subsets.
Bayesian model averaging may be another alternative worth considering.
Scott Millis
--- On Wed, 9/24/08, Lachenbruch, Peter
<[email protected]> wrote:
> From: Lachenbruch, Peter <[email protected]>
> Subject: RE: st: Find all subsets of variables
> To: [email protected]
> Date: Wednesday, September 24, 2008, 12:34 PM I think the same problem
> exists - you get a billion line output (with 50 vars and subset size
> of 10). I think SAS had something like this, but displayed only the
> 'best' one.
>
> This suggests to me a) know a lot about your data before doing this;
> b) look for small subsets; or c) use some sort of stepwise (and
> penalized) procedure (AIC or BIC or Mallows' Cp).
>
> We're talking the art of statistical analysis now.
>
> 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 Friedrich
> Huebler
> Sent: Wednesday, September 24, 2008 8:07 AM
> To: [email protected]
> Subject: Re: st: Find all subsets of variables
>
> Dirk,
>
> . ssc d allpossible
>
> Friedrich
>
> On Wed, Sep 24, 2008 at 10:00 AM, junin <[email protected]> wrote:
> > Dear all,
> >
> > i want to find out all subsets of a given set of
> variables for model
> > testing. As an example:
> >
> > A set of variables var1 var2 var3 var4 should give me:
> > var1 var2 var3 var4
> > var1 var2 var3
> > var1 var2 var4
> > var1 var3 var4
> > var1 var4
> > var1
> > var2 var3 var4
> >
> > and so forth.
> >
> > I would like to test all possible model
> configurations. Is there a
> > command in Stata, which could be convenient to use?
> >
> > Thank you for any help,
> >
> > dirk
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