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RE: st: aic bic adjusted R-squared with svy command


From   "Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: aic bic adjusted R-squared with svy command
Date   Fri, 19 Feb 2010 11:11:24 -0800

Harrell has a lot more to say, not much good.  Some recent work by Austin and Tu (I think) in the American Statistician(?) or Statistics in Medicine (?) has suggested doing stepwise on bootstrap samples and using this in lieu of a stepwise.  It removes some of the bias.
You might also look up Frank's book.  I can't find it on my shelves, so I must have lent it to someone.
Tony

Peter A. Lachenbruch
Department of Public Health
Oregon State University
Corvallis, OR 97330
Phone: 541-737-3832
FAX: 541-737-4001


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ronan Conroy
Sent: Friday, February 19, 2010 9:14 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: aic bic adjusted R-squared with svy command

On 18 Feabh 2010, at 07:22, Björn Bünger wrote:

> For each estimation type I want to conduct a (manual) stepwise  
> regression and examine AIC / BIC or adjusted R-squared on each step.

There is general agreement that adjusted R-squared for stepwise models  
underestimates the model shrinkage. Harrell says that you ought to  
adjust R-squared for the total number of variable considered in the  
model, not the number actually used in the final model.


Ronan Conroy
=================================

rconroy@rcsi.ie
Royal College of Surgeons in Ireland
Epidemiology Department,
Beaux Lane House, Dublin 2, Ireland
+353 (0)1 402 2431
+353 (0)87 799 97 95
+353 (0)1 402 2764 (Fax - remember them?)
http://rcsi.academia.edu/RonanConroy

P    Before printing, think about the environment





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