IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v10y2010i4p650-669.html
   My bibliography  Save this article

Variable selection in linear regression

Author

Listed:
  • Charles Lindsey

    (StataCorp)

  • Simon Sheather

    (Texas A&M University)

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.

Suggested Citation

  • Charles Lindsey & Simon Sheather, 2010. "Variable selection in linear regression," Stata Journal, StataCorp LP, vol. 10(4), pages 650-669, December.
    • Handle: RePEc:tsj:stataj:v:10:y:2010:i:4:p:650-669
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj10-4/st0213/
    as

    Download full text from publisher

    File URL: http://www.stata-journal.com/article.html?article=st0213
    File Function: link to article purchase
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lee, Gi-Eu, 2016. "Temperature Effects are more Complex than Degrees: A Case Study on Residential Energy Consumption," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 242285, Agricultural and Applied Economics Association.
    2. repec:ags:aaea16:235739 is not listed on IDEAS
    3. Gluzmann, Pablo & Guzman, Martin, 2017. "Assessing the robustness of the relationship between financial reforms and banking crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 32-47.
    4. Koetter, Michael & Krause, Thomas & Tonzer, Lena, 2019. "Delay determinants of European Banking Union implementation," European Journal of Political Economy, Elsevier, vol. 58(C), pages 1-20.
    5. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017. "Volatility of aggregate volatility and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
    6. Kenneth A. Younge & Tony W. Tong & Lee Fleming, 2015. "How anticipated employee mobility affects acquisition likelihood: Evidence from a natural experiment," Strategic Management Journal, Wiley Blackwell, vol. 36(5), pages 686-708, May.
    7. Cochrane, William & Poot, Jacques & Roskruge, Matthew, 2022. "Urban Resilience and Social Security Uptake: New Zealand Evidence from the Global Financial Crisis and the COVID-19 Pandemic," IZA Discussion Papers 15510, Institute of Labor Economics (IZA).
    8. Anwar, Sajid & Sun, Sizhong, 2012. "Trade liberalisation, market competition and wage inequality in China's manufacturing sector," Economic Modelling, Elsevier, vol. 29(4), pages 1268-1277.
    9. Butler, Alexander W. & Keefe, Michael O'Connor & Kieschnick, Robert, 2014. "Robust determinants of IPO underpricing and their implications for IPO research," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 367-383.
    10. Henrike Junge, 2017. "From Gross to Net Wages in German Administrative Data Sets," Data Documentation 89, DIW Berlin, German Institute for Economic Research.
    11. Jose A. Guajardo & Morris A. Cohen, 2018. "Service Differentiation and Operating Segments: A Framework and an Application to After-Sales Services," Manufacturing & Service Operations Management, INFORMS, vol. 20(3), pages 440-454, July.
    12. Valentino Dardanoni & Giuseppe De Luca & Salvatore Modica & Franco Peracchi, 2012. "A generalized missing-indicator approach to regression with imputed covariates," Stata Journal, StataCorp LP, vol. 12(4), pages 575-604, December.
    13. Wenming Xu & Guangdong Xu, 2016. "Truth and Robustness in Cross-country Law and Finance Regressions: A Bayesian analysis of the Empirical “Law Matters†Thesis," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-6.
    14. Cihan Artunç, 2024. "Legal origins of corporate governance: Choice of law in Egypt, 1887–1914," Economic History Review, Economic History Society, vol. 77(1), pages 3-40, February.
    15. Bellemare, Charles & Sebald, Alexander & Suetens, Sigrid, 2019. "Guilt aversion in economics and psychology," Journal of Economic Psychology, Elsevier, vol. 73(C), pages 52-59.
    16. Eileen M. Wanke & Jasmin Haenel & Thomas Schoettker-Koeniger & David A. Groneberg, 2021. "Determinants of Pain Intensity in Physical Education Teachers Focusing on Dance Teachers: A Cross-Sectional Study," IJERPH, MDPI, vol. 18(4), pages 1-12, February.
    17. Xue, Xindong & Reed, W. Robert & Menclova, Andrea, 2020. "Social capital and health: a meta-analysis," Journal of Health Economics, Elsevier, vol. 72(C).
    18. Eva K Fenwick & Jing Xie & Gwyn Rees & Robert P Finger & Ecosse L Lamoureux, 2013. "Factors Associated with Knowledge of Diabetes in Patients with Type 2 Diabetes Using the Diabetes Knowledge Test Validated with Rasch Analysis," PLOS ONE, Public Library of Science, vol. 8(12), pages 1-8, December.
    19. Amin, Ariane, 2016. "Exploring the role of economic incentives and spillover effects in biodiversity conservation policies in sub-Saharan Africa," Ecological Economics, Elsevier, vol. 127(C), pages 185-191.
    20. Hancevic, Pedro I. & Sandoval, Hector H., 2023. "Solar panel adoption among Mexican small and medium-sized commercial and service businesses," Energy Economics, Elsevier, vol. 126(C).
    21. Pedro I. Hancevic & Hector H. Sandoval, 2023. "Solar Panel Adoption in SMEs in Emerging Countries," Working Papers 222, Red Nacional de Investigadores en Economía (RedNIE).
    22. Jiamin Yu, 2022. "Will claim history become a deprecated rating factor? An optimal design method for the real-time road risk model," Papers 2204.11585, arXiv.org.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:10:y:2010:i:4:p:650-669. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum or Lisa Gilmore (email available below). General contact details of provider: http://www.stata-journal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.