st: stepwise and manual drop of variables

[Rodrigo Briceño <rjbriceno@gmail.com>]

Dear Stata users. I would like to know if there is a difference when
applying the command Stepwise(SW) and doing the elimination of
variables manually.

I recently run this two models:

1. regress logliq logsap l1liq l2liq l3liq l4liq l1sap l2sap l3sap
l4sap liqmk pprom sem dv if isin2==169 & ano>=2009
2. sw regress logliq logsap l1liq l2liq l3liq l4liq l1sap l2sap l3sap
l4sap liqmk pprom sem dv if isin2==169 & ano>=2009, pr(.05)

When I drop the variables with p-value greater than 0.05 I got as
final variables: sem (0.0315) and pprom (0.0644): p-values in
parenthesis
If I apply the second option my final variables are: sem (0.022), dv
(0.027) and pprom (0.007).

My final goal is to reduce the model with all the variables to a
simple model with just significant variables (0.05 or lower p-value).

Is there an explanation for the difference when applying both methods?
in that case would be better to do the elimination of variables one by
one?

thanks for your help.

--
Rodrigo Briceño
Economist
rjbriceno@gmail.com
MSN: jbric98@hotmail.com
SKYPE: rbriceno1087

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