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Re: st: xtivreg- stepwise regression models
From
Neil Shephard <[email protected]>
To
[email protected]
Subject
Re: st: xtivreg- stepwise regression models
Date
Wed, 5 Jan 2011 11:04:09 +0000
On Wed, Jan 5, 2011 at 10:42 AM, Ari Dothan <[email protected]> wrote:
> Hi all,
> xtivreg requires the presence of an endogenous variable.
> Stepwise regressions, on the other hand, start with the controls in
> the absence of the IV.
> Since that endogenous variable is the regressor which should enter in
> the last hierarchical regression, and since this is not possible in
> xtivreg, I would much appreciate guidance concerning the correct way
> to run xtivreg stepwise regressions.
Not very helpful, but stepwise variable/model selection should be
avoided. Some comments in this FAQ
http://www.stata.com/support/faqs/stat/stepwise.html
Neil
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