Variable selection in linear regression

Charles Lindsey () and Simon Sheather
Additional contact information
Simon Sheather: Texas A&M University

Stata Journal, 2010, vol. 10, issue 4, 650-669

Abstract: We present a new Stata program, vselect, that helps users perform variable selection after performing a linear regression. Options for stepwise meth- ods such as forward selection and backward elimination are provided. The user may specify Mallows’s Cp, Akaike’s information criterion, Akaike’s corrected informa- tion criterion, Bayesian information criterion, or R2 adjusted as the information criterion for the selection. When the user specifies the best subset option, the leaps-and-bounds algorithm (Furnival and Wilson, Technometrics 16: 499–511) is used to determine the best subsets of each predictor size. All the previously men- tioned information criteria are reported for each of these subsets. We also provide options for doing variable selection only on certain predictors (as in [R] nestreg) and support for weighted linear regression. All options are demonstrated on real datasets with varying numbers of predictors.

Keywords: vselect; variable selection; regress; nestreg (search for similar items in EconPapers)
Date: 2010
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj10-4/st0213/
References: View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0213 link to article purchase

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:10:y:2010:i:4:p:650-669

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().