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st: new package -vselect- available in SSC
From
Charles Lindsey <[email protected]>
To
Charles Lindsey <[email protected]>, [email protected]
Subject
st: new package -vselect- available in SSC
Date
Tue, 18 Mar 2014 11:52:24 -0500
Thanks to Kit Baum, the package -vselect- is now available in the SSC.
To install, type -ssc install vselect-.
-vselect- performs variable selection for linear regression. Through
the use of the Furnival-Wilson leaps-and-bounds algorithm, all-subsets
variable selection is supported. The stepwise methods, forward
selection and backward elimination, are also supported.
This version of the -vselect- package adds two features. Now when
performing all-subsets regression, users may specify the number of best
models to be reported at each predictor size. Also, factor variables
are now supported in the -fix()- option.
Reference:
Lindsey C. and S. Sheather (2010), Variable Selection in Linear
Regression, The Stata Journal, 10:650-669.
--Charles
[email protected]
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