Dear all,
I am just using the "omit" command. My initial model has many regressors
and the "omit" command with the "--auto=alpha" option reduces the
specification substantially. I want to find out the index/position of
the variable which is selected as insignificant each round.
So lets say I have three regressors. The initial point estimates are:
binit = { 0.5, 2, 3.4 }
after "omit" the first two regressors are found to be insignificant, and
hence the final estimate is, for instance, given by:
bfinal = { 3.55 }
In this case I would like to have something like a selection vector
which takes unity for the omitted variables:
select = { 1, 1, 0 }
I've got a rather complicated solution in mind but I am wondering
whether there is a built-in command which I am not aware of.
Thanks in advance!
Artur