REGALL: Stata module to run and compare all regressions derived from complete sets of regressors

Paolo Verme

Statistical Software Components from Boston College Department of Economics

Abstract: regall runs all possible regressions derived from varlist and compares results with R2 (R2, Adjusted R2 or Pseudo R2) and Information Criteria (AIC or BIC). For example, a set of 3 regressors A, B and C can generate 3 equations of 1 regressor (A,B,C), 3 equations of 2 regressors (AB,BC,AC) and 1 equation of 3 regressors(ABC) for a total of 7 possible equations. In this case, regall runs all 7 equations and compares results. regall uses regsets. regsets uses combinatory calculus to calculate the number of combinations without repetitions of the set of variables listed in varlist.

Language: Stata
Requires: Stata version 13
Keywords: regression; data mining; AIC; BIC (search for similar items in EconPapers)
Date: 2019-04-28
Note: This module should be installed from within Stata by typing "ssc install regall". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/r/regall.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/regall.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/regsets.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/regsets.sthlp help file (text/plain)

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