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st: Stepwise saving ommited variable


From   Tomáš Houška <xbender@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Stepwise saving ommited variable
Date   Tue, 1 May 2012 11:05:05 +0200

Dear statalist,

I am running a series of regressions on time series, in which I
estimate the effect of certain national holidays (fathers day,
superbowl, etc.) on beer consumption of selected beer brands. Since
each beer brand has a different consumption pattern, brands differ in
statistically significance of holidays. This is why I decided to use
stepwise regression in order to include only the relevant holidays for
each beer brand.

Since I am running all my regressions in -forvalues- loop (I have
approx 30 beer brands), I would like to save from each regression the
holidays omitted by -stepwise- in order to be able to see, which
holiday in general was the most often omitted, which holiday was the
one influencing the most beer brands etc. How can I achieve this? I
havent found any postestimation possibility to save variables omitted
by stepwise.

Thank you for you help!
Tomas
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