Re: st: any virtues to stepwise regression?

[Richard Williams <Richard.A.Williams.5@ND.edu>]

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.


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