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Re: st: stepwise and manual drop of variables


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: stepwise and manual drop of variables
Date   Thu, 10 Feb 2011 16:10:45 -0500

At 04:00 PM 2/10/2011, Rodrigo Briceño wrote:
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.

When you did it manually, did you, in fact, do it one step at a time? When doing backwards selection, you should drop one variable, rerun the regression, drop another variable, etc. If you just drop all the insignificant variables at once that is not the same as stepwise. The fact that pprom made it in to your final model with a p-value of .0644 indicates you did something wrong; it should have been dropped (assuming this isn't just a typo).

I'll leave it to others to point out the problems with stepwise, but you should be aware of them if you aren't already.

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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Richard Williams, Notre Dame Dept of Sociology
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