[R] Bug in stepAIC?

[Prof Brian Ripley]

You sent this earlier to R-devel.  Please do see the posting guide! 
Since you (incorrectly) thought this was a bug in MASS, you should have 
contacted the maintainer.

On Wed, 11 Oct 2006, Martin C. Martin wrote:

> Hi,
>
> First of all, thanks for the great work on R in general, and MASS in
> particular.  It's been a life saver for me many times.
>
> However, I think I've discovered a bug.  It seems that, when I use
> weights during an initial least-squares regression fit, and later try to
> add terms using stepAIC(), it uses the weights when looking to remove
> terms, but not when looking to add them:
>
> hills.lm <- lm(time ~ dist + climb, data = hills, weights = 1/dist2)

Presumably dist^2?

> small.hills.lm <- stepAIC(hills.lm)
> stepAIC(small.hills.lm, time ~ dist + climb)
>
> In the first stepAIC(), it says that the AIC for the full "time ~ dist +
> climb" is 94.41.  Yet, during the second stepAIC, it says adding climb
> would produce an AIC of 212.1 (and an RSS of 12633.3).  Is this a bug?

Yes, but not in stepAIC.  Consider

> drop1(hills.lm)
Single term deletions

Model:
time ~ dist + climb
        Df Sum of Sq    RSS    AIC
<none>              437.64  94.41
dist    1    164.05 601.68 103.55
climb   1      8.66 446.29  93.10
> add1(small.hills.lm, time ~ dist + climb)
Single term additions

Model:
time ~ dist
        Df Sum of Sq     RSS     AIC
<none>              15787.2   217.9
climb   1    3153.8 12633.3   212.1
> stats:::add1.default(small.hills.lm, time ~ dist + climb)
Single term additions

Model:
time ~ dist
        Df    AIC
<none>    93.097
climb   1 94.411

so the bug is in add1.lm, part of R itself.  Other code has been altered 
which then broke add1.lm and 'z' needs to be given class "lm".  Now fixed 
in r-devel and r-patched.

-- 
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)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595