st: Simulating stepwise regression

[John Antonakis <john.antonakis@unil.ch>]

Hi:

I would like to simulate the below. Note, I am no fan of stepwise--I 
just want to demonstrate it evils

However, I do not know

1. what to put in the place of "??"--that is, I want the program to 
capture only the variables that were selected in the model as being 
significant

2. how to simulate the r-square.

3. how to extend the simulation (a new program) such that I simulate 
from n = 50 to n=1000 (in increments of 50), crossed with independent 
variables ranging from x1 to x100.

Regards,
John.

Here is the program:

set seed 123456

capture program drop sim
version 10.1
program define sim, eclass
       drop _all

set obs 100

gen y = invnorm(uniform())
gen x1 = invnorm(uniform())
gen x2 = invnorm(uniform())
gen x3 = invnorm(uniform())
gen x4 = invnorm(uniform())
gen x5 = invnorm(uniform())

stepwise, pr(.2): regress y x1-x5
 end

simulate ??? , reps(20) seed (123) : sim,

foreach v in ?? {
gen t_`v' = /*
*/_b_`v'/_se_`v'
gen p_`v' =/*
*/ 2*(1-normal(abs(t_`v')))
}

____________________________________________________

Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:
http://www.hec.unil.ch/people/jantonakis&cl=en

Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________



*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/