[R] Stepwise Regression and PLS

[Peter Flom]

Frank Harrell wrote

> I think you missed the point.  None of the variable
> selection procedures
> will provide results that have a fair probability of
> replicating in
> another sample.
> 
> FH


And Jinsong Zhao answered
<<<
Do you mean different procedures will provide
different results? Maybe I don't understand your email
correctly. Now, I just hope I could get a reasonable
linear model using stepwise method in R, but I don't
know how to deal with collinear problem.
>>>>

The problem is not with R, SAS, or SPSS, but with your desire to
produce "a reasonable linear model using stepwise".  Stepwise does not,
in general, produce reasonable linear models, nor does it produce 
models that are generally replicable.

This issue has been discussed here in the past, but there have been
more extensive discussions on SAS-L, or in numerous statistics books,
including Dr. Harrell's excellent one.

HTH

Peter L. Flom, PhD
Assistant Director, Statistics and Data Analysis Core
Center for Drug Use and HIV Research
National Development and Research Institutes
71 W. 23rd St
www.peterflom.com
New York, NY 10010
(212) 845-4485 (voice)
(917) 438-0894 (fax)