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VSELECT: Stata module to perform linear regression variable selection

Author

Listed:
  • Charles Lindsey

    (StataCorp LP)

Programming Language

Stata

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.

Suggested Citation

  • Charles Lindsey, 2014. "VSELECT: Stata module to perform linear regression variable selection," Statistical Software Components S457808, Boston College Department of Economics, revised 15 Dec 2014.
    • Handle: RePEc:boc:bocode:s457808
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/v/vselect.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/v/vselect.sthlp
    File Function: help file
    Download Restriction: no
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