Raphael:
This thread seems to have been dragging on for a while,
as you tend to provide about one more piece of information in
each post!
I don't know how you intend to use -allpossible- in
conjunction with -postfile-. They are not obviously
compatible. They could be made compatible if you
got into a clone of -allpossible- and rewrote it.
I am not sure if that qualifies as "easy" in your terms.
It is quite [British sense] easy in principle.
Also, as explained in its help, -allpossible-
depends on this being true:
"At least one of eclass() or rclass() must be specified.
eclass() must include one or more names of e-class
results, as would be displayed by -estimates list-
after fitting an individual model. -rclass()-
must include the name of a program that would execute
without arguments after a model command
and one or more names of r-class results it produces."
So the help already answered your question. As -regress- is e-class,
you must write a program that would produce as an r-class
result Mallow's C.
Now I don't know what Mallow's C is. Perhaps you mean what I
know as C_p, named for Colin Mallows (not Mallow) and Cuthbert Daniel,
although the latter is often not credited. Now C_p is for regression
going to tell you much the same as AIC, as I understand it.
So on these guesses you just need to get at the result of -estat ic-.
As I recall your problem, you have 6 possible predictors.
So your call would look something like this:
allpossible regress mpg headroom trunk weight length turn displacement,
eclass(rss r2) rclass(myaic AIC)
where the missing program would like something like this:
program myaic, rclass
version 9
estat ic
tempname foo
mat `foo' = r(S)
return scalar AIC = `foo'[1,5]
end
Another way of tackling this is to start with -selectvars- from SSC.
---------------------------- fraser.do
sysuse auto, clear
selectvars headroom trunk weight length turn displacement
local vars `"`r(varlist)'"'
di as txt "Predictors{col 50}R-square AIC"
di as txt "{hline 64}"
foreach v of local vars {
qui regress mpg `v'
di as txt "`v'" "{col 50}" as res %8.5f e(r2) _c
qui estat ic
matrix S = r(S)
di as res %8.3f S[1,5]
}
-------------------------
ru fraser
will illustrate some technique. This is also adaptable
to work with -postfile- and other -e()- results.
Nick
[email protected]
Raphael Fraser
> I was hoping to use -allpossible- and -postfile- to create a dataset
> of e(rss), e(rmse), df_m, Mallow's C, etc. Is there an easy way around
> this?
Nick Cox
> > As others have indicated, I did not write -tryem-.
Raphael Fraser
> > > tryem has no help file. I threw some variables at it and it froze.
> > > Nick?? Are you there?
Robert A Yaffee
> > > > I think that Nick Cox have an allpossible ado file
> > > > that performed all possible subsets regression.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
