[R] stepwise regression
Frank E Harrell Jr
f.harrell at vanderbilt.edu
Fri Apr 28 14:09:55 CEST 2006
Jinsong Zhao wrote:
> Dear all,
> I have encountered a problem when perform stepwise regression.
You have more problems than you know.
> The dataset have more 9 independent variables, but 7 observation.
Why collect any data? You can get great fits using random numbers using
> In R, before performing stepwise, a lm object should be given.
> fm <- lm(y ~ X1 + X2 + X3 + X11 + X22 + X33 + X12 + X13 + X23)
> However, summary(fm) will give:
> Residual standard error: NaN on 0 degrees of freedom
> Multiple R-Squared: 1, Adjusted R-squared: NaN
> F-statistic: NaN on 6 and 0 DF, p-value: NA
> In this situation, step() or stepAIC() will not give any useful information.
> I don't know why SAS could deal with this situation:
> PROC REG;
> MODEL y=X1 X2 X3 X11 X22 X33 X12 X13 X23/SELECTION=STEPWISE;
> Any help will be really appreciated.
> Jinsong Zhao
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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