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st: Re: RE: vselect & ologit
From
Charles Lindsey <[email protected]>
To
[email protected]
Subject
st: Re: RE: vselect & ologit
Date
Thu, 10 Mar 2011 16:55:40 -0600
On Mar 10, 2011 Nick Cox <[email protected]> wrote:
> "-vselect- performs variable selection for linear regression."
> As I understand it, there is no sense in which it supports
> -ologit- or works with -ologit-.
> That would require major re-engineering of the program on your part
> (indeed, I guess wildly, substantial innovation in terms of thinking of the
> appropriate criteria to use).
> Note: you say OLS, but -vselect- is not restricted to plain regression.
> It can take various weights. Thus characterising it as using OLS is
> incorrect. Earlier today I commented on the bizarre practice of saying
> "OLS" when regression in general is meant.
> But I'd contact Charles Lindsey at StataCorp for the definitive
> word. (I've sent him a copy of this.)
-vselect- does not yet support the general use of log-likelihoods,
particularly those corresponding to non-normal models.
An outline of how to perform variable selection for non-normal models is
given in:
Lawless, J. F. and K. Singhal 1978, Efficient Screening of nonnormal
regression models. Biometrics 34 318-327
We are currently working on implementing these methods into -vselect- for
submission to The Stata Journal.
Charles Lindsey
[email protected]
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