Re: st: how to index regressions inside a foreach loop in order to avoid writing over the estimates

[hind lazrak <hindstata@gmail.com>]

Hello Jesper

Thank you for the hint - I was responding to Nick when you sent your
message...will try this.

Cheers,
Hind

On Fri, Oct 14, 2011 at 2:11 AM, Jesper Lindhardsen
<JESLIN01@geh.regionh.dk> wrote:
> Hi There,
>
> I must say I agree with Nick on the reasons for doing this, unless it is just a way to "explore" data.
> But for what its worth, try (and expand on) the code below. It is a crude way, but it gets you there.
> It requires the -estout- userwritten package.
>
>
>
> clear all
>
> sysuse auto
>
> est clear
>
> foreach var of varlist price - trunk  {
>
>        qui reg weight length `var'
>
>        qui estout, c(p) keep(`var')
>
>        qui matrix A=r(coefs)
>
>        if A[1,1]<0.1 {
>
>                di "`var'   p=" A[1,1]
>
>                }
>
> }
>
>
> HTH,
>
> Jesper
>
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: 14 October 2011 10:45
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: how to index regressions inside a foreach loop in order to avoid writing over the estimates
>
> I'd advise strongly against this for several reasons. Here are some of them.
>
> 1. This is mixing crude and subtle in a strange way. You have
> subject-matter (perhaps theory-guided) thinking telling you that some
> confounders deserve to be in the model, but otherwise it appears that
> you are going to let significance tests do all the work of deciding
> what else should be in the model or what is worth thinking about. Many
> people do that, but many disapprove too.
>
> 2. Multiple tests at the same critical level have shifted your real
> critical level in a way that is difficult to handle. This divides up
> any field from people who don't care much to those who have a strong
> belief that not confronting this is a major technical error. The
> problem goes under different names in different literatures.
>
> 3. Your critical level is 0.95 now, was 0.1 in your first posting.
> Although I guess the mention of 0.95 is just confusing significance
> level and confidence level, this illustrates a major difficulty with
> this approach: the threshold is arbitrary. You then have to argue with
> both those who want a different threshold and those who don't believe
> you should use just significance tests for your decision-making here.
>
> 4. A reviewer of your work is likely to have some favourite
> variable(s) that they think should be tried out. If your story is
> going to be "Oh yes, I tried that but it wasn't significant, so it's
> not in the Table" that is not going to impress. Most reviewers want
> access to all the results in principle; how much time they spend
> scanning them is their capricious decision.
>
> Note that #4 can bite you even if you discount #1, #2, #3.
>
> Nick
>
> On Fri, Oct 14, 2011 at 4:46 AM, hind lazrak <hindstata@gmail.com> wrote:
>
>> Thank you for taking the time to respond to the question I posted.
>>
>> I made the example simpler in my post for more clarity.
>>
>> In the first step I ran the pwcorr, sig to capture the list of
>> variables that I ran in the loop.
>> In fact the simple linear regression does include three other
>> variables that may act as either modifier or confounder. So I need to
>> control for them.
>>
>> So this brings me back to the original question. Is there any way to
>> get a table of coeffs that are statistically significant at the 95%
>> level?
>
> Richard Williams
>>> At 04:54 PM 10/13/2011, hind lazrak wrote:
>
>>>> I am using Stata Version 10 on Windows Vista.
>>>> The analysis I am conducting is exploratory and involves a long list
>>>> of independent variables I am testing using simple linear regression.
>>>> In order to see which variables are "promising" I'd like to find a way
>>>> to store each model estimate and ideally figure out how to tabulate
>>>> only those that have a p-value<0.1.
>>>>
>>>> The code I used is as follow
>>>>
>>>> foreach var of varlist [list of 55 vars] {
>>>> qui reg y1 `var'   */ first set of regressions looking at Y1
>>>> eststo model1`var'
>>>>
>>>> qui reg y2 `var'  */ second set of regressions looking at Y2
>>>> eststo model2`var'
>>>> }
>>>> estimates table model1`var' model`var', beta not
>>>>
>>>> This code is not working because it overwrites all the estimates in
>>>> each regression and only keeps the last one. Also I did not figure out
>>>> how to only show those with p-val<0.1
>>>
>>> The line
>>>
>>> estimates table model1`var' model`var', beta not
>>>
>>> should probably be
>>>
>>> estimates table model1`var' model2`var', beta not
>>>
>>> And, it should come before the }, not afterwards.
>>>
>>> This is just a bunch of bivariate regressions, right? Why not something like
>>>
>>> pwcorr y1 y2 x1-x55, star(.10)
>>>
>>> You could probably also fiddle around with the ereturned results and make
>>> the estimates table command conditional on one p value or the other being
>>> significant.
>
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