Stepwise Regression Issue

[Carlo Silvano]

Hi,

I am trying to perform a stepwise regression with a lot of independent variables (790), and with a 5% p-value significance level for all the variables. I am using Stata 16.

First I do:

reg y q1 q2 q2 q3 H I J K L M N O...(all the other Xs)

then I do stepwise, pr(0.05) : regress y (q1 q2 q3 q4 H I J K L M N O.. (all the other Xs))

But I got this error:

begin with full model
last test not found
r(302);

Can someone kindly help me? Let me know if you need more information. I didn't put all the other variable names as they are 790, but it is not a variable problem as the first reg command goes through perfectly (with al lot of variables dropped because of estimability).

Carlo

[Leonardo Guizzetti]

Whatever variables you wrap in parantheses will be treated as one group by -stepwise-. This code says:

stepwise, pr(0.05) : regress y (q1 q2 q3 q4 H I J K L M N O.. (all the other Xs))

Test the model with all variables, or no variables, and that's probably causing the error. Simply remove the parentheses and try again (though perhaps with a smaller variable list to start with to see if it works).

If this doesn't solve your problem, then I invite you to read the FAQ on how to provide a reproducible data example, with the appropriate presentation of that data and example code for us to use.

[Carlo Silvano]

I am sorry for my bad request.


Firstly I regress y on all the varaible (790):

reg y q1 q2 q3 q4 H I J K L M N O P Q R S T U V W X Y Z AA AB AC AD AE AF AG AH AI AJ AK AL AM AN AO AP AQ AR AS AT AU AV AW AX AY AZ BA BB BC BD BE BF BG BH BI BJ BK BL BM BN BO BP BQ BR BS BT BU BV BW BX BY BZ CA CB CC CD CE CF CG CH CI CJ CK CL CM CN CO CP CQ CR CS CT CU CV CW CX CY CZ DA DB DC DD DE DF DG DH DI DJ DK DL DM DN DO DP DQ DR DS DT DU DV DW DX DY DZ EA EB EC ED EE EF EG EH EI EJ EK EL EM EN EO EP EQ ER ES ET EU EV EW EX EY EZ FA FB FC FD FE FF FG FH FI FJ FK FL FM FN FO FP FQ FR FS FT FU FV FW FX FY FZ GA GB GC GD GE GF GG GH GI GJ GK GL GM GN GO GP GQ GR GS GT GU GV GW GX GY GZ HA HB HC HD HE HF HG HH HI HJ HK HL HM HN HO HP HQ HR HS HT HU HV HW HX HY HZ IA IB IC ID IE IF IG IH II IJ IK IL IM IN IO IP IQ IR IS IT IU IV IW IX IY IZ JA JB JC JD JE JF JG JH JI JJ JK JL JM JN JO JP JQ JR JS JT JU JV JW JX JY JZ KA KB KC KD KE KF KG KH KI KJ KK KL KM KN KO KP KQ KR KS KT KU KV KW KX KY KZ LA LB LC LD LE LF LG LH LI LJ LK LL LM LN LO LP LQ LR LS LT LU LV LW LX LY LZ MA MB MC MD ME MF MG MH MI MJ MK ML MM MN MO MP MQ MR MS MT MU MV MW MX MY MZ NA NB NC ND NE NF NG NH NI NJ NK NL NM NN NO NP NQ NR NS NT NU NV NW NX NY NZ OA OB OC OD OE OF OG OH OI OJ OK OL OM ON OO OP OQ OR OS OT OU OV OW OX OY OZ PA PB PC PD PE PF PG PH PI PJ PK PL PM PN PO PP PQ PR PS PT PU PV PW PX PY PZ QA QB QC QD QE QF QG QH QI QJ QK QL QM QN QO QP QQ QR QS QT QU QV QW QX QY QZ RA RB RC RD RE RF RG RH RI RJ RK RL RM RN RO RP RQ RR RS RT RU RV RW RX RY RZ SA SB SC SD SE SF SG SH SI SJ SK SL SM SN SO SP SQ SR SS ST SU SV SW SX SY SZ TA TB TC TD TE TF TG TH TI TJ TK TL TM TN TO TP TQ TR TS TT TU TV TW TX TY TZ UA UB UC UD UE UF UG UH UI UJ UK UL UM UN UO UP UQ UR US UT UU UV UW UX UY UZ VA VB VC VD VE VF VG VH VI VJ VK VL VM VN VO VP VQ VR VS VT VU VV VW VX VY VZ WA WB WC WD WE WF WG WH WI WJ WK WL WM WN WO WP WQ WR WS WT WU WV WW WX WY WZ XA XB XC XD XE XF XG XH XI XJ XK XL XM XN XO XP XQ XR XS XT XU XV XW XX XY XZ YA YB YC YD YE YF YG YH YI YJ YK YL YM YN YO YP YQ YR YS YT YU YV YW YX YY YZ ZA ZB ZC ZD ZE ZF ZG ZH ZI ZJ ZK ZL ZM ZN ZO ZP ZQ ZR ZS ZT ZU ZV ZW ZX ZY ZZ AAA AAB AAC AAD AAE AAF AAG AAH AAI AAJ AAK AAL AAM AAN AAO AAP AAQ AAR AAS AAT AAU AAV AAW AAX AAY AAZ ABA ABB ABC ABD ABE ABF ABG ABH ABI ABJ ABK ABL ABM ABN ABO ABP ABQ ABR ABS ABT ABU ABV ABW ABX ABY ABZ ACA ACB ACC ACD ACE ACF ACG ACH ACI ACJ ACK ACL ACM ACN ACO ACP ACQ ACR ACS ACT ACU ACV ACW ACX ACY ACZ ADA ADB ADC ADD ADE ADF ADG ADH ADI ADJ ADK ADL ADM

and it goes through. Then I use stepwise function:

stepwise, pr(0.05) : regress y (q1 q2 q3 q4 H I J K L M N O P Q R S T U V W X Y Z AA AB AC AD AE AF AG AH AI AJ AK AL AM AN AO AP AQ AR AS AT AU AV AW AX AY AZ BA BB BC BD BE BF BG BH BI BJ BK BL BM BN BO BP BQ BR BS BT BU BV BW BX BY BZ CA CB CC CD CE CF CG CH CI CJ CK CL CM CN CO CP CQ CR CS CT CU CV CW CX CY CZ DA DB DC DD DE DF DG DH DI DJ DK DL DM DN DO DP DQ DR DS DT DU DV DW DX DY DZ EA EB EC ED EE EF EG EH EI EJ EK EL EM EN EO EP EQ ER ES ET EU EV EW EX EY EZ FA FB FC FD FE FF FG FH FI FJ FK FL FM FN FO FP FQ FR FS FT FU FV FW FX FY FZ GA GB GC GD GE GF GG GH GI GJ GK GL GM GN GO GP GQ GR GS GT GU GV GW GX GY GZ HA HB HC HD HE HF HG HH HI HJ HK HL HM HN HO HP HQ HR HS HT HU HV HW HX HY HZ IA IB IC ID IE IF IG IH II IJ IK IL IM IN IO IP IQ IR IS IT IU IV IW IX IY IZ JA JB JC JD JE JF JG JH JI JJ JK JL JM JN JO JP JQ JR JS JT JU JV JW JX JY JZ KA KB KC KD KE KF KG KH KI KJ KK KL KM KN KO KP KQ KR KS KT KU KV KW KX KY KZ LA LB LC LD LE LF LG LH LI LJ LK LL LM LN LO LP LQ LR LS LT LU LV LW LX LY LZ MA MB MC MD ME MF MG MH MI MJ MK ML MM MN MO MP MQ MR MS MT MU MV MW MX MY MZ NA NB NC ND NE NF NG NH NI NJ NK NL NM NN NO NP NQ NR NS NT NU NV NW NX NY NZ OA OB OC OD OE OF OG OH OI OJ OK OL OM ON OO OP OQ OR OS OT OU OV OW OX OY OZ PA PB PC PD PE PF PG PH PI PJ PK PL PM PN PO PP PQ PR PS PT PU PV PW PX PY PZ QA QB QC QD QE QF QG QH QI QJ QK QL QM QN QO QP QQ QR QS QT QU QV QW QX QY QZ RA RB RC RD RE RF RG RH RI RJ RK RL RM RN RO RP RQ RR RS RT RU RV RW RX RY RZ SA SB SC SD SE SF SG SH SI SJ SK SL SM SN SO SP SQ SR SS ST SU SV SW SX SY SZ TA TB TC TD TE TF TG TH TI TJ TK TL TM TN TO TP TQ TR TS TT TU TV TW TX TY TZ UA UB UC UD UE UF UG UH UI UJ UK UL UM UN UO UP UQ UR US UT UU UV UW UX UY UZ VA VB VC VD VE VF VG VH VI VJ VK VL VM VN VO VP VQ VR VS VT VU VV VW VX VY VZ WA WB WC WD WE WF WG WH WI WJ WK WL WM WN WO WP WQ WR WS WT WU WV WW WX WY WZ XA XB XC XD XE XF XG XH XI XJ XK XL XM XN XO XP XQ XR XS XT XU XV XW XX XY XZ YA YB YC YD YE YF YG YH YI YJ YK YL YM YN YO YP YQ YR YS YT YU YV YW YX YY YZ ZA ZB ZC ZD ZE ZF ZG ZH ZI ZJ ZK ZL ZM ZN ZO ZP ZQ ZR ZS ZT ZU ZV ZW ZX ZY ZZ AAA AAB AAC AAD AAE AAF AAG AAH AAI AAJ AAK AAL AAM AAN AAO AAP AAQ AAR AAS AAT AAU AAV AAW AAX AAY AAZ ABA ABB ABC ABD ABE ABF ABG ABH ABI ABJ ABK ABL ABM ABN ABO ABP ABQ ABR ABS ABT ABU ABV ABW ABX ABY ABZ ACA ACB ACC ACD ACE ACF ACG ACH ACI ACJ ACK ACL ACM ACN ACO ACP ACQ ACR ACS ACT ACU ACV ACW ACX ACY ACZ ADA ADB ADC ADD ADE ADF ADG ADH ADI ADJ ADK ADL ADM)

Here is the dataset:

* Example generated by -dataex-. To install: ssc install dataex
clear
input double(H I J K L M N O P Q R S T U V W X Y Z)
 .051055    .022 .02036667  .02834 .0005   .00449 .010485  .03147   .028545 .004195  .033975 .005315 .00416667  .037795  .00779 .00773455  .043025  .01024 .01502
  .05785  .01728 .01823333 .023555 .0004   .00263  .01068  .02707    .03679  .00269  .042665  .00379 .00403333  .046315  .00559 .00578691   .05128 .007385 .01134
 .051585  .01714 .01643333 .022155 .0006  .001765  .00973  .02618    .02559  .00178  .029865  .00239 .00346667   .03578   .0042 .00458934   .03961  .00712 .01058
 .044945  .01831 .01706667 .023435 .0002  .003375 .008435 .026975   .019545 .003155   .02446  .00353     .0036  .027595 .005465 .00532578   .03293  .00859 .01211
 .047635 .017585     .0195 .023955 .0004   .00212 .007315   .0274    .02132  .00195  .027265 .002865 .00393333  .034115  .00451 .00545519  .035285 .006995  .0116
  .04527 .024355 .01996667  .02965 .0002   .00279 .006857 .032345   .021575 .003885   .02553 .006215     .0044   .03237 .009165  .0107835   .03468  .01425 .01806
  .04575 .027155     .0271 .030585 .0003   .00388 .006294  .03276   .019775 .004305  .025125 .007645 .00706667  .030985  .01207 .01055241  .034635  .01522 .02025
  .04084  .03021 .02746667 .033785 .0001  .003545 .005831  .03503      .012 .005575  .016865 .009175 .00633333  .022805  .01489 .01326161   .02708 .018595 .02416
 .032995 .027365 .02763333  .03237 .0003   .00429 .005581 .033715   .008365  .00713   .01281  .01103 .00763333  .016955  .01684 .01376804   .01949 .019715 .02368
  .02736  .02668 .02623333  .03152 .0002  .004875 .005451 .032865    .00595 .008595  .008395  .01246     .0087   .01155  .01794 .01324669  .013615  .02029 .02342
  .02358   .0243 .02496667 .027795 .0002   .00535 .005786 .029185     .0039 .008355   .00598  .01272 .00983333   .00816  .01554 .01514488   .01038  .01777 .02039
  .01871  .01754     .0228  .02147 .0003   .00294 .006288  .02321   .004925 .004285   .00655 .006805 .00966667   .00779 .009505 .01478082  .009125 .011665 .01404
  .01247   .0155 .01966667  .01929 .0005  .003605 .006942 .021195   .001875 .003955   .00262 .007695     .0097  .003855 .009985 .01193433  .005685 .011685 .01416
  .02306  .02034 .02166667  .02424 .0002  .004925 .007715  .02582    .00418  .00568  .005995  .01013 .00973333  .009115 .013005 .01399154  .012205 .015125   .018
 .017235 .017655     .0222 .021045     0  .005035 .008511 .023105    .00123  .00566  .002875  .00759 .01023333  .004825  .00959    .01188  .007435  .01195 .01458
 .015997  .01958     .0219  .02284 .0014  .002675  .01178  .02492  .0001925  .00647   .00091  .00873 .01136667 .0041075  .01088    .01613  .006255 .013425 .01624
 .012234 .014095     .0192  .01954 .0018   .00392 .012104  .02136  -.000247  .00436 .0001595 .006055 .01026667 .0011535  .00747    .01083  .002785  .00834 .01185
.0125495 .009185 .01753333  .01461  .002  .002065 .012303 .016185 -.0007155   .0017   .00001  .00238 .00916667  .001223  .00345    .00887  .003515 .004235 .00645
 .011885 .007445 .01563333 .011555  .002    .0014 .015518 .013295 -.0009155  .00107  -.00001  .00115 .00846667   .00048  .00176    .01056  .002615 .002275 .00409
  .01822 .012365     .0213  .01619 .0044 -.000015 .016857 .017615 -.0016305  .00047 .0001835 .000965 .01233333  .002275  .00321    .01762   .00604  .00474 .00793
  .02299 .011195 .02443333 .014675 .0074   .00102 .018018 .016285  .0001715  .00102  .003233 .002165 .01513333  .004745 .002955    .01779   .01092 .005385 .00798
  .02156  .01249 .02263333 .016095 .0084   .00307 .017384  .01778 -.0008105 .003415  .002475 .004235     .0147  .004905 .004695    .01754  .008585  .00684 .00928
 .021685  .01353 .02243333 .016605 .0096   .00381 .017823 .019065 -.0015475  .00436 .0012965   .0052     .0151 .0044975  .00579    .01824  .008301   .0077 .01017
  .01991 .011845     .0237 .015025 .0128   .00323  .02107 .017315 -.0019705  .00429 .0008695  .00478 .01816667 .0036805   .0053    .02129 .0069425   .0072 .00918
 .017845  .01342     .0276   .0158 .0163    .0073 .026626  .01687 -.0027945 .008165 -.000358  .00863     .0231  .002959 .009845    .02506  .006395 .011025 .01178
  .02675  .01277     .0292 .015615 .0177    .0067 .027641   .0172      .007 .007175  .010136 .007275     .0261  .014421 .008905    .02712  .017235 .010255 .01126
  .03145 .015735 .02926667  .01714 .0212   .00792 .029186  .01885    .01041  .00819  .015925  .00857     .0275 .0196835  .01029    .02939  .022515  .01168 .01291
  .02744 .012675 .03033333 .014945 .0244  .007525 .030054 .017395   .004665 .007495   .00918 .007285     .0284  .015328 .007905    .02497   .01812 .008945 .00997
end

Note that, for the limit imposed, I am not able to display all the variables in the dataset. But as the first command is successful, it shouldn't be a variable problem.

The error message I get from the second command is:

last test not found
r(302);

Let me know if you need other information. Many thanks,
Carlo

[Leonardo Guizzetti]

You have not followed my advice in #2. The help file for -stepwise- explicitly states.

stepwise expects command to have the following form:

command_name [depvar] term [term ...] [if] [in] [weight] [, command_options]

where term is either varname or (varlist) (a varlist in parentheses indicates that this group of variables is to be included or excluded together).
...

Also, you have not included your dependent variable -y-, though until you try the advice in #2, it does not matter.

[Carlo Lazzaro]

Carlo:
you are surely aware of https://www.stata.com/support/faqs/s...sion-problems/.