*! version 1.2.1 07mar2013

Title

regall -- is a regression utility that runs and compares all regressions derived from complete sets of regressors.

Syntax

regall : command depvar varlist [if] [in] [weight] [, options]

Options

rs() - R squared : Use rs(r2) for the simple R2, rs(r2a) for the adjusted R2 and rs(r2p) for the pseudo R2.

ic() - Information Criterion : Use ic(aic) for the Akaike's information criterion and ic(bic) for the Bayesian information criterion.

Description

regall runs all possible regressions derived from varlist and compares results with R2 (R2, Adjusted R2 or Pseudo R2) and Information Criteria (AIC or BIC).
For example, a set of 3 regressors A, B and C can generate 3 equations of 1 regressor (A,B,C), 3 equations of 2 regressors
(AB,BC,AC) and 1 equation of 3 regressors(ABC) for a total of 7 possible equations. In this case, regall runs all 7 equations and compares results.

Remarks

regall uses regsets to generate the complete set of regressors and estat ic to generate the information criteria statistics.

Remember that with logit or probit equations you can only specify the pseudo R2 option and that the pseudo R2 is not produced if you are using the 'no constant' option.

The command makes use of 'r(table)' and will work with all regression commands that return the r(table) matrix.

Use '&' to keep sets of independent variabels fixed (ex: price&weight).

Saved Results

Matrices

r(#) : Returns the post estimation r(table) matrix for equation #.

Examples

sysuse auto, clear

regall: logit foreign weight headroom, rs(r2p) ic(bic)

regall: reg headroom price trunk, rs(r2) ic(bic)

regall: reg foreign price trunk, noconst rs(r2a) ic(aic)

regall: reg foreign price trunk headroom&weight, rs(r2a) ic(aic)

Author

Paolo Verme, World Bank, pverme@worldbank.org.

Aknowledgments

The author is grateful to Aziz Atamanov, Olivier Dupriez and Philippe Van Kerm for useful suggestions.