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RE: st: stepwise


From   Timothy.Mak@iop.kcl.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: stepwise
Date   Mon, 4 Sep 2006 10:05:52 +0100

Thank you Nick and Richard for their comments. I have also read Sribney's 
comments on the pitfalls of stepwise regression, and I confess it's an 
eye-opener. However I do seem to remeber seeing arguments for stepwise 
regression, especially concerning the use of too many predictor variables 
in logistic regression. I don't think there's need for a discussion of the 
place of stepwise regression on Statalist now, but I just thought I'd give 
my final comment. Thanks again for all who replied. 

Tim




Nick Cox <n.j.cox@durham.ac.uk> 
Sent by: owner-statalist@hsphsun2.harvard.edu
01/09/2006 21:05
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RE: st: stepwise






Quite so.

The canonical source of succinctly expressed scepticism is, I believe,
Frank Harrell's book on "Regression modeling strategies".

The StataCorp FAQ by Bill Sribney on stepwise quotes
from an earlier version of the list of problems mentioned
by Harrell.

This 2001 book is worth seeking out. It provides statistical readers
with an easy, but argued and rational, simplification to their life. You
should not, and therefore need not, both with stepwise
procedures ever again.

Nick
n.j.cox@durham.ac.uk

Richard Williams

> Incidentally, I am ignoring for now all the concerns that can be
> raised about stepwise regression! 

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