I was told by a professor that Stata 9 has the ability to iterate out a
series of F-tests automatically, and tell you which form of your model
is the best.
For example, you had a model with seven independent variables, and after
manually computing all these F-tests, you discover that one combination
of 5 of those variables is the best.
The command I referring to supposedly has Stata 9 determine which is the
optimal model, with Stata telling you which independent variables to
pick for the optimal condition.
I've searched what's new in Stata 9 on the Stata Homepage, and I've
searched the help documentation thoroughly, but I can find no mention of
such a command.
Is anyone aware of such a command ?
Many thanks,
Vaughn Elliott II
Auburn University
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