Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Jordan Hoolachan <jihool3670@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: combining/integrating the results of -stepwise- and -mim- for variable selection after multiple imputation |
Date | Thu, 9 Sep 2010 14:30:30 -0400 |
Dear All, I am using Stata 11.1 and attempting to perform variable selection after multiple imputation. All 10 imputed datasets are currently stacked into one large data set with "_mj" identifying the dataset to which an observation belongs and "_mi" identifying observations within a data set. In their paper "How should variable selection be performed with multiply imputed data?", Wood et al. (2008) identify a model selection approach (the "RR appoach") that utilizes Rubin's rules for estimating parameters and standard errors across imputed data sets. Specifically, "each model selection step involves fitting the model under consideration to all data sets and combining estimates across imputed data sets." The only information that they provide in regards to actually doing this in Stata is the following: "For the RR method, -stepwise- was modified to use the Wald test statistics from -micombine- ." I am only an intermediate Stata user on my best days so I'm not even really sure where to start on this. It seems like I need to code an iterative procedure in which the results of each -logistic- command run under -stepwise- are fed to -micombine (or -mim-) which then combines the results across the imputed data sets and finally feeds the resulting Wald test statistic back to -stepwise- in order for the next -logistic- command to be able to run. Any advice do doing on setting up this type of program? This is the web address of the the Wood et al. paper for your reference: http://onlinelibrary.wiley.com/doi/10.1002/sim.3177/abstract Unfortunately, access to the full .pdf is only granted if you have a subscription. I couldn't find a location in which it is available to everyone. Thanks for the consideration! Jordan * * 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/