RE: st: restricting margins to significant variables only

[Richard Williams <richardwilliams.ndu@gmail.com>]

At 11:41 AM 3/18/2011, Nick Cox wrote:
> Either way, one over-arching point is that modifications to a model 
> make nonsense of the classical idea of hypothesis testing and of 
> what P-values mean.
>
> Lots of us, and I include myself, view modelling as a highly 
> iterative process guided by data, and indeed what else should it be?
>
> Some of us, ditto, sit loose to P-values and don't take them very 
> seriously. But those who want to select their models in the light of 
> the data  and then write them up keeping exactly the same view of 
> P-values as if the model published is exactly the model first 
> thought of are playing a rather strange game.
>
> Nick
> n.j.cox@durham.ac.uk

I agree, and one of the things that has always troubled me is the 
view that diagnostic tests (and resulting model modifications) are 
good while stepwise regression is bad. Either way, you are looking at 
the data first before coming up with the final model. That doesn't 
mean you don't do diagnostic tests but you should somehow take into 
account that the reported P-values for your final model are probably 
wrong. Further, researchers often run a bunch of models before 
reporting the "winners," and that can also cause the reported 
P-values to be highly deceptive.


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
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EMAIL:  Richard.A.Williams.5@ND.Edu
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