Multiple-linear regression - Forward selection and backward selection

[Tom Hsiung]

Hello, guys

I searched the Internet for the command to do forward selection or backward selection in Stata but I only got that Stata can do Stepwise selection.

Tom

[Richard Williams]

See -help stepwise-. The pe and pr options control forward and backward selection.

Be advised, however, that many regard stepwise selection as the work of Satan. See

https://www.stata.com/support/faqs/s...sion-problems/

[Tom Hsiung]

And, for example

stepwise, pe(#): regress dep-variable indep-varible1 indep-varible2 ... indepvariblek

What value of # should I set? 0.2?

Tom

[Tom Hsiung]

Hello? Somebody know the value?

[Jared Greathouse]

I used to be one of the people who regarded it as the work of Satan, or Beelzebub, whoever we'd prefer.... and in most circumstances outside causal inference, I would.

I discovered this method from an instructor at the university across the street from me. It appears to rely on forward selection for a causal panel estimator in high dimensional settings. Richard Williams