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Re: st: any virtues to stepwise regression?


From   Roger Newson <roger.newson@kcl.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: any virtues to stepwise regression?
Date   Mon, 08 Aug 2005 13:50:26 +0100

At 09:44 08/08/2005, Svend Juul wrote:
Chris Ryan asked (rethorically?):

Are there *any* circumstances in which stepwise multiple regression
would be the preferred approach?
--------------------------------

I can think of one example:

In the thalidomide disaster an epidemic of rare malformations occurred.
There were no strong, but dozens of weak hypotheses about the etiology.
In such a situation I think an extensive case-control study followed by
a stepwise logistic regression analysis is the most sensible thing to
do.
If I was doing a data-mining exercise of this nature in an extensive case-control study, then I think I would define a propensity score for each candidate cause, calculate confidence limits and P-values for the propensity-adjusted odds ratio for each candidate cause, and then use one or more of the multiple test procedures available from the -smileplot- package, downloadable from SSC (see Newson et al., 2003). This method would have the advantage that I could then make meaningful confidence statements about my set of "discoveries", which I could not do with a clear conscience using stepwise regression.

Roger


References

Newson, R. and the ALSPAC Study Team. 2003. Multiple-test procedures and smile plots. The Stata Journal 3(2): 109-132. A pre-publication draft is downloadable from my website at http://www.kcl-phs.org.uk/rogernewson.



--
Roger Newson
Lecturer in Medical Statistics
Department of Public Health Sciences
Division of Asthma, Allergy and Lung Biology
King's College London

5th Floor, Capital House
42 Weston Street
London SE1 3QD
United Kingdom

Tel: 020 7848 6648 International +44 20 7848 6648
Fax: 020 7848 6620 International +44 20 7848 6620
or 020 7848 6605 International +44 20 7848 6605
Email: roger.newson@kcl.ac.uk
Website: http://phs.kcl.ac.uk/rogernewson/

Opinions expressed are those of the author, not the institution.

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