At 03:31 AM 1/30/2009, Martin Weiss wrote:
<>
sdm,
you could try -stepwise- with the -lockterm1- option. This option forces
-stepwise- to hold on to the first term no matter what. You can specify this
first term with parantheses so it can include several covariates, in your
case x1- x200...
I almost suggested the same thing. One problem is that it might take
an eternity to run. Stepwise is going to drop one variable at a
time, whereas sdm is willing to drop huge chunks at a time that don't
meet the desired criteria. Still, it might be worth trying using the
lockterm1 and pr(.05) options.
My guess is that if somebody really wanted to, they could write a
routine that looked at the t-values and then only kept those Xs that
met the desired criteria. (But I don't really want to so I'm not
going to bother!)
Of course, there are qualms about stepwise regression in general, let
alone stepwise regression involving 200 variables.
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Richard Williams, Notre Dame Dept of Sociology
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