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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/
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    Cited by:

    1. 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.
    2. Bellemare, Charles & Sebald, Alexander & Suetens, Sigrid, 2019. "Guilt aversion in economics and psychology," Journal of Economic Psychology, Elsevier, vol. 73(C), pages 52-59.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Xue, Xindong & Reed, W. Robert & Menclova, Andrea, 2020. "Social capital and health: a meta-analysis," Journal of Health Economics, Elsevier, vol. 72(C).
    10. 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.
    11. 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.
    12. 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.
    13. 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).
    14. 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.
    15. Henrike Junge, 2017. "From Gross to Net Wages in German Administrative Data Sets," Data Documentation 89, DIW Berlin, German Institute for Economic Research.
    16. 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.
    17. 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.
    18. 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).
    19. repec:ags:aaea16:235739 is not listed on IDEAS
    20. 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.
    21. 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.

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