Re: st: Dropping variables in regression equations based on R-Squared value

[Nick Cox <njcoxstata@gmail.com>]

If there was a conflict with variable names

   if max(scalar(a), scalar(b)) > 0.95 local droplist `droplist' `x'
}
Nick
njcoxstata@gmail.com


On 20 July 2013 10:21, George Murray <george.murray16@gmail.com> wrote:
> Thanks again for the help Nick. This worked, although I had to change
> the scalar names.
>
> George.
>
> On Sat, Jul 20, 2013 at 5:12 PM, Nick Cox <njcoxstata@gmail.com> wrote:
>> local droplist
>>
>> foreach x of varlist   var1-var5000{
>>       quietly reg `x'  var5001
>>       display "`x'" `e(r2)'
>>       scalar a = e(r2)
>>       quietly reg `x'  var5002
>>       display "`x'" `e(r2)'
>>       scalar b = e(r2)
>>       if max(a, b) > 0.95 local droplist `droplist' `x'
>> }
>>
>> drop `droplist'
>> Nick
>> njcoxstata@gmail.com
>>
>>
>> On 20 July 2013 07:45, George Murray <george.murray16@gmail.com> wrote:
>>> abcde
>>> Dear Statalist,
>>>
>>> I am running numerous regressions in the following form:
>>>
>>> foreach x of varlist   var1-var5000{
>>> quietly reg `x'  var5001
>>> display "`x'" `e(r2)'
>>> quietly reg `x'  var5002
>>> display "`x'" `e(r2)'
>>> }
>>>
>>> Where e(r2) displays the R-Squared of each regression.
>>>
>>> If *either* of the above regression equations have an R-Squared
>>> greater than 0.95, I want to drop the variable `x' . For example, if I
>>> regress var500 on var1001, and then on var1002, and *either* of the
>>> regressions have an R-Squared value over 0.95, I wish to delete
>>> var500.
>>>
>>> Does anyone have a way of doing this? I’m doing this manually at the
>>> moment, but is taking far too much time, and of course, it would be
>>> better if I could find a way to do this with the code.
>>>
>>> Thank you.
>>>
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>
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