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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


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