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Re: st: any virtues to stepwise regression?


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: any virtues to stepwise regression?
Date   Sun, 07 Aug 2005 17:51:31 -0500

At 05:42 PM 8/7/2005 -0400, Christopher W. Ryan wrote:
Are there *any* circumstances in which stepwise multiple regression would be the preferred approach?
No. :) The Stata Faq on this is at

http://www.stata.com/support/faqs/stat/stepwise.html

But, there are times when it is less horrible than others. For example, you might do an exploratory stepwise analysis with one data set (or half of your full data) and then see if you replicate with another data set. Exploratory analyses in general might give you ideas you would have otherwise overlooked.

Also, you could use a more stringent significance level to reduce the likelihood that you are capitalizing on chance.

It is also sometimes argued that stepwise isn't so bad if your goal is prediction rather than explanation (e.g. if you've got a formula that accurately picks the winners of horse race, what do you care why it works, so long as it does?)

The worst case scenario is something like you use stepwise regression to select 3 variables out of 50, write a paper and neglect to mention how your 3 variables got chosen.

On the other hand, it could be argued that something very much like stepwise often happens on a covert basis - people try a bunch of things out and only report the stuff that worked.


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Richard Williams, Notre Dame Dept of Sociology
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