[R] variable selection when categorical variables are available

[Prof Brian Ripley]

On Tue, 11 Apr 2006, Mike Wolfgang wrote:

> Probably it is not highly relevant question: Why do stepwise regression
> functions in R (step() or stepAIC()) add/delete categorical variables as a
> set?

Yes, those two do.  Others (e.g. in package leaps) may not.

> For example, I have a four-level factor variable d, so dummies are
> d1,d2,d3, as stepwise regression operates d, adding or removing, d1,d2,d3
> are simultaneously added/removed. What's the concern here if operating
> dummies individually? Model interpretability or anything else? (it seems
> shrinkage methods can operate them one by one)


-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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