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| From | John Antonakis <john.antonakis@unil.ch> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: AW: st: AW: Simulate stepwise: Report coefficients from each replication |
| Date | Mon, 29 Mar 2010 18:12:16 +0200 |
In fact, Martin, I found a "trick" (ignore my lousy code for the groupings for the time being--I will update it).
So, Stata does "kick-out" coefficients that are not common. For instance, in the code I gave you before, it only identifies 5 betas from the simulation.
. fsum,Variable N Mean SD Min Max _b_x1 11 1.72 0.57 1.02 2.81 _b_x2 9 1.77 1.30 -1.05 3.76 _b_x7 17 1.35 0.40 0.76 2.38 _b_x9 17 1.11 0.27 0.66 1.54 _b_x5 13 1.22 0.37 0.84 2.14 _b_cons 20 4.56 1.94 0.82 8.19 _se_x1 11 0.78 0.11 0.58 0.98 _se_x2 9 0.76 0.14 0.55 1.01 _se_x7 17 0.41 0.04 0.36 0.49 _se_x9 17 0.47 0.07 0.32 0.60 _se_x5 13 0.46 0.07 0.36 0.59 _se_cons 20 0.92 0.26 0.55 1.47
However, I used -outreg2- to post the results of each simulation, and voilà, problem solved! See new code below.
Best,
J.
clear
capture program drop sim
version 10.1
program define sim, eclass
drop _all
set obs 272
gen x1=rnormal()
gen x2=rnormal() +.2*x1
gen x3=rnormal() +.3*x1 + .3*x2
gen x4=rnormal() +.2*x1
gen x5=rnormal()
gen x6=rnormal() + .2*x5
gen x7=rnormal() + .5*x5
gen x8=rnormal() + .1*x7
gen x9=rnormal() + .1*x7
generate double e = 5*rnormal()
generate double u = sqrt(exp(-2+0.6*x1))*e
gen y = 5+ x1+x2+x3+x4+x5+x6+x7+x8+x9 + 2*u
reg y x*
sort x1
gen x1_count=_n
gen x1_high=1 if _n > 177
replace x1_high=0 if _n <178
gen x1_low=1 if _n < 96
replace x1_low=0 if _n>95
sort x2
gen x2_count=_n
gen x2_high=1 if _n > 177
replace x2_high=0 if _n <178
gen x2_low=1 if _n < 96
replace x2_low=0 if _n>95
gen group="high_high" if x1_high==1 & x2_high==1
replace group="low_low" if x1_low==1 & x2_low==1
replace group="low_high" if x1_low==1 & x2_high==1
replace group="high_low" if x1_high==1 & x2_low==1
stepwise, pr(.2): reg y x1-x9 if group=="low_low"
outreg2 using low_low2, tstat parenthesis(tstat) tdec(2) rdec(2) bdec(2)
excel
end simulate _b _se, reps(20) seed (123) : sim, ____________________________________________________ Prof. John Antonakis, Associate Dean Faculty of Business and Economics Department of Organizational Behavior 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 Personal page: http://www.hec.unil.ch/jantonakis ____________________________________________________ On 29.03.2010 17:31, Martin Weiss wrote: > <> > > > What is your complaint, BTW? You get a red cross marker from -simulate- > whenever one of the coefficients was dropped by -stepwise-. Which makes > sense to me. > > What is " x1_count" and sister variable good for in your -program-? > > > The high/low variables can be created as one-liners: > > ************* > gen byte x1_high= _n > 177 > ************* >> Have you thought about the interaction between the two -seed-s that you set?
> > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von John Antonakis
> Gesendet: Montag, 29. März 2010 17:07 > An: statalist@hsphsun2.harvard.edu > Betreff: Re: st: AW: Simulate stepwise: Report coefficients from each > replication > > Sorry....I took bits out of some older code....in fact, the program is > the following (where I want to show that stepwise gives nonsense > findings, particularly when analyzing data within extreme > groups--believe me, people do this and I am commenting on a paper that > just did it)--I will run the below four times for each group (though > with a bit of programming I guess it is possible to run it one): > > clear > set seed 51 > > capture program drop sim > version 10.1 > program define sim, eclass > drop _all > > set obs 272 > gen x1=rnormal() > gen x2=rnormal() +.2*x1 > gen x3=rnormal() +.3*x1 + .3*x2 > gen x4=rnormal() +.2*x1 > gen x5=rnormal() > gen x6=rnormal() + .2*x5 > gen x7=rnormal() + .5*x5 > gen x8=rnormal() + .1*x7 > gen x9=rnormal() + .1*x7 > > generate double e = 5*rnormal() > generate double u = sqrt(exp(-2+0.6*x1))*e > > gen y = 5+ x1+x2+x3+x4+x5+x6+x7+x8+x9 + 2*u > > reg y x* > > sort x1 > gen x1_count=_n > gen x1_high=1 if _n > 177 > replace x1_high=0 if _n <178 > gen x1_low=1 if _n < 96 > replace x1_low=0 if _n>95 > > sort x2 > gen x2_count=_n > gen x2_high=1 if _n > 177 > replace x2_high=0 if _n <178 > gen x2_low=1 if _n < 96 > replace x2_low=0 if _n>95 > > gen group="high_high" if x1_high==1 & x2_high==1 > replace group="low_low" if x1_low==1 & x2_low==1 > replace group="low_high" if x1_low==1 & x2_high==1 > replace group="high_low" if x1_high==1 & x2_low==1 > > stepwise, pr(.2): reg y x1-x9 if group=="low_low" > > end > > simulate _b _se, reps(20) seed (123) : sim, > > Best, > J. > > ____________________________________________________ > > Prof. John Antonakis, Associate Dean > Faculty of Business and Economics > Department of Organizational Behavior > 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 > > Personal page: > http://www.hec.unil.ch/jantonakis > ____________________________________________________ > > > > On 29.03.2010 17:02, Martin Weiss wrote: >> <> >> >>>> Where exactly do you define -program- "sim"? -simulate- expects a command
>> after the colon, remember... >> >> >> >> HTH >> Martin >> >> >> -----Ursprüngliche Nachricht----- >> Von: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von John > Antonakis >> Gesendet: Montag, 29. März 2010 16:56 >> An: statalist@hsphsun2.harvard.edu>> Betreff: st: Simulate stepwise: Report coefficients from each replication
>>>> I want to highlight the evils of stepwise analysis. However, I am having
>> problems in getting Stata to report the coefficients from each >> replication --it seems that it only reports the coefficients that are >> common across replications. Anyone have any ideas? >> >> clear >> set seed 51 >> >> drop _all >> >> set obs 272 >> gen x1=rnormal() >> gen x2=rnormal() +.2*x1 >> gen x3=rnormal() +.3*x1 + .3*x2 >> gen x4=rnormal() +.2*x1 >> gen x5=rnormal() >> gen x6=rnormal() + .2*x5 >> gen x7=rnormal() + .5*x5 >> gen x8=rnormal() + .1*x7 >> gen x9=rnormal() + .1*x7 >> >> generate double e = 5*rnormal() >> generate double u = sqrt(exp(-2+0.6*x1))*e >> >> gen y = 5+ x1+x2+x3+x4+x5+x6+x7+x8+x9 + 2*u >> >> stepwise, pr(.2): reg y x1-x9 >> >> end >> >> simulate _b _se, reps(20) seed (123) : sim, >>>> > *
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