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RE: st: stepwise

From   "Nick Cox" <>
To   <>
Subject   RE: st: stepwise
Date   Mon, 4 Sep 2006 13:04:28 +0100

The main argument for -stepwise- is presumably 
combinatorial. With p predictors, there are 2^p 
possible models (or 2^p - 1, depending on whether 
you count the model with no predictors) depending
on whether a variable is in or out (to say nothing
of transformations, interaction terms, etc., etc.). 

p of 10, which is a pretty modest number, gives already a
thousand or so possible models, and no one I know wants
to page through the output from a thousand fits, even if 
the computing is feasible. 

To paraphrase what Maurice Chevalier said about old age, 
-stepwise- thus appears better than the alternative. 

The other argument I'm aware of is that -stepwise- automates
what a good statistician would do, but that is 
difficult to sustain, in my view. A good statistician 
uses substantive judgement and knowledge, and "taste" 
based on experience, and that cannot be automated. 

> 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. 
Nick Cox <> 

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

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