Re: stepwise like SPSS? [was: RE: st: Means test]

["Zurab Sajaia" <zsajaia@hotmail.com>]

I've not posted it on SSC yet since I'm still developing it, any user is 
most welcome to try my -bestreg- command, that implements Furnival's 'Leaps 
and
Bounds' algorithm for all subset comparisons.
Standard advantages over stepwise procedures should apply, and also I have 
included grouping, when groups of dummy variables are considered as one 
factor and added/dropped together.

Try typing;
.net describe bestreg, 
from(http://siteresources.worldbank.org/INTPOVRES/Resources)

(note, since Stata is case-sensitive, the url above should copied asis)

Any comments/suggestions would be greatly appreciated.

Zurab


----- Original Message ----- 
From: "Nick Cox" <n.j.cox@durham.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, February 14, 2007 5:32 PM
Subject: stepwise like SPSS? [was: RE: st: Means test]



> Replying to a different thread and not changing the title
> are not recommended.
>
> You want what I see as full-blown intravenous stepwise.
>
> StataCorp's support for any flavour of
> stepwise -- by comparison with SPSS -- is lukewarm at best.
>
> You could build on some user-written tools to write
> your own, but I guess that's not in prospect if you
> are just beginning.
>
> Throw "stepwise" at a random bunch of users at a Stata users'
> meeting, and I think the reactions would be some mix of
>
> snake oil!!
> wishful thinking!
> dodgy, but useful with care
>
> and somebody would suggest that you go and read Frank Harrell's
> "Regression modeling strategies" (Springer 2001) on why
> you shouldn't.
>
> Nick
> n.j.cox@durham.ac.uk
>
> David Zatz
>
> > I am moving to Stata from SPSS. We have a somewhat special
> > situation, where
> > we frequently work on exploratory data, and have in the past
> > used SPSS'
> > stepwise regression to isolate key variables from a list of
> > about 60-90
> > variables as a way to guide our path analysis. (We do not
> > solely rely on
> > regression but do use it to help lead us to key "unique variance"
> > questions.)
> >
> > Stata's stepwise regression does not give us any indication
> > of increase in
> > R2 for each model, adding variables in, though we could
> > manually do this at
> > a great increase in time. Indeed, I've now spent several
> > hours looking at
> > various solutions, including stepwise regress, rsquare,
> > pathreg, etc. and
> > haven't found anything that goes through all the various potential
> > combinations and spits out a number of models, with total R2, R2
> > contributed by each new entry, and the various coefficients and betas
> > involved with each. Is this possible in Stata?
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