Re: st: Controlling for sample selection in three stages including a count based model

[federico.tedeschi@univr.it]

I can't reply on your question related to selection bias because I don't understand what the source of bias is, and where the comparison between 2 (or more) groups stands.
I can tell you about my variable selection procedure, even if I think many people here could suggest a better one. I use the command "boost". A Multiple Additive Regression Tree (see Schonlau, 2005, for Stata implementation) is performed. I try different values of the number of nodes and the smoothing parameter. I take the model with the best fit on the test set. Then, I see the weights of each variable (the fraction of times is used as the splitting variable for the nodes) and use it to drive my stepwise regression (each time a variable has to be inserted, I try starting with the one with the highest weight; each time a variable has to be dropped, I test from the one with lowest weight). I don't know if it is a good procedure, however, but I think the simple stepwise procedure is not very trustworthy...
Federico

Schonalu, M., 2005, Boosted regression (boosting): An introductory tutorial and a Stata plugin, The Stata Journal 5, Number 3, pp. 330–354.
 

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