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Re: st: Dropping variables in regression equations based on R-Squared value
From
George Murray <[email protected]>
To
[email protected]
Subject
Re: st: Dropping variables in regression equations based on R-Squared value
Date
Sat, 20 Jul 2013 19:21:05 +1000
Thanks again for the help Nick. This worked, although I had to change
the scalar names.
George.
On Sat, Jul 20, 2013 at 5:12 PM, Nick Cox <[email protected]> wrote:
> local droplist
>
> foreach x of varlist var1-var5000{
> quietly reg `x' var5001
> display "`x'" `e(r2)'
> scalar a = e(r2)
> quietly reg `x' var5002
> display "`x'" `e(r2)'
> scalar b = e(r2)
> if max(a, b) > 0.95 local droplist `droplist' `x'
> }
>
> drop `droplist'
> Nick
> [email protected]
>
>
> On 20 July 2013 07:45, George Murray <[email protected]> wrote:
>> abcde
>> Dear Statalist,
>>
>> I am running numerous regressions in the following form:
>>
>> foreach x of varlist var1-var5000{
>> quietly reg `x' var5001
>> display "`x'" `e(r2)'
>> quietly reg `x' var5002
>> display "`x'" `e(r2)'
>> }
>>
>> Where e(r2) displays the R-Squared of each regression.
>>
>> If *either* of the above regression equations have an R-Squared
>> greater than 0.95, I want to drop the variable `x' . For example, if I
>> regress var500 on var1001, and then on var1002, and *either* of the
>> regressions have an R-Squared value over 0.95, I wish to delete
>> var500.
>>
>> Does anyone have a way of doing this? I’m doing this manually at the
>> moment, but is taking far too much time, and of course, it would be
>> better if I could find a way to do this with the code.
>>
>> Thank you.
>>
>> *
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>
> *
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