Re: st: Best Logistic Regression Model

[Jeph Herrin <info@flyingbuttress.net>]

I agree with the advice to avoid -stepwise-. I've taken to using random 
forests to rank predictors, but have yet to follow through on my threat 
to implement this in Stata.

J


On 3/19/2014 9:47 AM, Richard Williams wrote:
> Ideally you have some great theory which helps you pick predictors. You
> then test whether the theory seems to be right. The -nestreg- command
> can let you test a hierarchy of models.
>
> But if you are going into this totally blind...
>
> Check out -help stepwise- for info on how to do stepwise regression. But
> first, read this brief discussion of the problems with stepwise:
>
> http://www.stata.com/support/faqs/statistics/stepwise-regression-problems/
>
> If you want to do stepwise anyway, you may want to do things like split
> the sample randomly in two. Develop your model with one data set and
> then see if you can confirm it with the other.
>
> If you want to mass produce models, check out Nick Cox's -allpossible-,
> available from SSC.
>
> To get BIC and AIC tests, you can use commands like
>
> sysuse auto
> logit foreign weight
> estat ic
> est store m1
> logit foreign weight mpg
> est store m2
> lrtest m1 m2, stats
>
> You might also check out this Stata tip:
> http://www.stata-journal.com/sjpdf.html?articlenum=dm0032
>
> As for searching previous questions, the search info appears at the end
> of every email that gets posted to the list.
>
> At 05:51 AM 3/19/2014, T A wrote:
> > Hi,
> >
> > I am writing an analysis plan for a very large dataset. My outcome is
> > binary. I have data on 10,000 patients. I need to comment on which
> > logistic regression model I would use, i.e. forward elimination,
> > backward elimination, stepwise etc. How do I go about choosing the
> > best logistic regression model? I know I can choose significant
> > predictors using univariate analysis first. Since the dataset is so
> > large and there are only 20 variables to look at, I think all
> > variables could have a singificant p value. Is there a more systematic
> > and stringent way of choosing predictors for a multivariable logistic
> > regression? How do I do AIC and BIC in STATA?
> >
> > Sorry if this is a silly question. I am a newbie to stats. Thank you
> > so much for your help.
> >
> > How do I search all the previous questions that has been asked on this
> > mailing list?
> >
> > Best Regards
> >  Ta
> > *
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> > *   http://www.ats.ucla.edu/stat/stata/
>
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
> HOME:   (574)289-5227
> EMAIL:  Richard.A.Williams.5@ND.Edu
> WWW:    http://www.nd.edu/~rwilliam
>
> *
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*
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