Hi all,
I have performed the sw (stepwise) regress in Stata, my results with backward
or forward estimation is very different, but I know that shouldn't be so.
My question is: is the Stata sw procedure the real stepwise estimation??!!
It seems to me that the selection is based only on the significance and
not on the marginal explainatory power of every single variable.
There is nothing that says that results have to be the same. Indeed, you
can come up with reasonable examples involving suppressor effects where
none of the variables will enter if you use forward selection, and none
will be dropped if you use backwards. And, if you are trying to choose from
hundreds of variables, it is not at all surprising that you get different
results.
