Dear all,
I am performing quantile regression using STATA qreg procedure. I have a list
of 400 variables and I would like to select the best set of 10 variables out of
those 400. Since there is no variable selection command for my purpose, I want
to run the quantile regression for all possible combinations of 10 vars out of
400 variables. The total number of combinations is huge:90734485000000000000. I
would like to ask if anyone has come accross such a problem and how I can write
maybe a macro that would allow each 10 variable combination to be run with qreg
procedure and store the predictions of the dependent variable in an output
file.
Does anyone has another idea on how to deal with the problem?
Thank you
Nazaire
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