Our Stata course Automatic selection of explanatory variables with Stata aims at introducing methods suitable to automatically select the relevant explanatory variables of linear regression models. Participants will be introduced to various algorithms/techniques allowing to select the best model among a huge number of potential candidate models. Applications will be done on real data, including cross-sectional data, time series data and Panel-data.
Automatic selection of explanatory variables with Stata
The course will cover the following:
How to estimate a linear model when there are more variables than observations or when there is strong multicollinearity
- Ridge regressions
- Principal component regressions
- Cross validation
Selection of variables using "Statistical Techniques"
- Adaptive Lasso
Selection of variables using "Econometrics Techniques"
- Gets - General to Specific
- Automatic Model Selection
- Impulse Indicator Saturation
Applications of automatic model selection with real data, including cross-sectional data, time series data and Panel-data.
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Intermediate level knowledge of econometrics and of time series/panel data econometrics. Basic knowledge of the Stata software.
Terms & Conditions
- Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
- Additional discounts are available for multiple registrations.
- Cost includes course materials, lunch and refreshments.
- Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course. (Alternatively, we can also provide laptops for a small daily charge).
- If you need assistance in locating hotel accommodation, please notify us at the time of booking.
- Payment of course fees required prior to the course start date.
- Registration closes 5-calendar days prior to the start of the course.
- 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
- 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
- No fee returned for cancellations made less than 14-calendar days prior to the start of the course.
The number of delegates is restricted. Please register early to guarantee your place.