[Limdep Nlogit List] Model selection

[William Greene]

Trent: In a multinomial choice model, you would not typically think of the
attributes as if they
were regressors in a conditional mean function.  As such, this seems like a
counterproductive
way to search for the functional form of the utility functions, assuming
the list of attributes that
was specified at the beginning was considered appropriate at the start.
There is a literature on
"attribute non-attendance" that might be helpful.
All that said, I'm afraid not.  NLOGIT (LIMDEP) does not provide an
automated backward
stepwise procedure for finding the specification of the model.
Regards
Bill Greene

On Sun, Jul 16, 2017 at 10:06 PM, Trent Spears <trentspears at hotmail.com>
wrote:

> Hi,
>
>
> Is it possible to estimate a (multinomial logistic) regression model in
> LIMDEP using a process of backward elimination? In particular, I would like
> to specify a threshold p-value and retrieve model output including only the
> independent variables with a p-value below this threshold.
>
> For example, the sample code below might return the top-most table. What
> do I add to get the bottom-most table instead?
>
>
> Thank you in advance!
>
>
>
> Sample code, for p-value threshold = 0.10:
>
> DISCRETECHOICE;Lhs=Choice,Group;Conditional; Rhs = var1,var2,var3$
>
>
> --------+---------------------------------------------------
> -----------------
>         |                  Standard            Prob.      95% Confidence
>    PLACE|  Coefficient       Error       z    |z|>Z*         Interval
> --------+---------------------------------------------------
> -----------------
>     VAR1|   -3.96840*       2.38165    -1.67  .0957    -8.63634    .69954
>     VAR2|     .40056         .69390      .58  .5638     -.95947   1.76058
>     VAR3|    -.02381        1.10233     -.02  .9828    -2.18433   2.13672
>
>
> --------+---------------------------------------------------
> -----------------
>         |                  Standard            Prob.      95% Confidence
>    PLACE|  Coefficient       Error       z    |z|>Z*         Interval
> --------+---------------------------------------------------
> -----------------
>     VAR1|   V*       W    X  .082    Y    Z
>
>
>
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>


-- 
William Greene
Department of Economics
Stern School of Business, New York University
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