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Re: st: any virtues to stepwise regression?


From   Alan Neustadtl <alan.neustadtl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: any virtues to stepwise regression?
Date   Sun, 7 Aug 2005 20:34:10 -0400

While I agree with this, care must still be used.  It's possible that
the "best model" will include an interaction term without the main
effects.

Best,
Alan

On 8/7/05, Richard Williams <Richard.A.Williams.5@nd.edu> wrote:
> 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.
> 
> 
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
> FAX:    (574)288-4373
> HOME:   (574)289-5227
> EMAIL:  Richard.A.Williams.5@ND.Edu
> WWW (personal):    http://www.nd.edu/~rwilliam
> WWW (department):    http://www.nd.edu/~soc
> 
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