VSELECT: Stata module to perform linear regression variable selection

Charles Lindsey ()

Statistical Software Components from Boston College Department of Economics

Abstract: vselect performs variable selection for linear regression. Through the use of the Furnival-Wilson leaps-and-bounds algorithm, all-subsets variable selection is supported. The stepwise methods, forward selection and backward elimination, are also supported. This version of the vselect package adds two features. Factor variables are now supported for the fix() option. Now when performing all-subsets regression, users may specify the number of best models to be reported at each predictor size. This version is an update of that published in Stata Journal, 2011, 11(1):155.

Language: Stata
Requires: Stata version 11.1
Keywords: regression; variable selection; leaps-and-bounds; all-subsets; stepwise regression (search for similar items in EconPapers)
Date: 2014-03-16, Revised 2014-12-15
Note: This module should be installed from within Stata by typing "ssc install vselect". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/v/vselect.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vselect.sthlp help file (text/plain)

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