[R] Stepwise GLM selection by LRT?

[Lutz Ph. Breitling]

Thank you very much for the prompt reply. Seems like I had not fully
understood what the k-parameter to stepAIC is doing.
Your suggested approach looks indeed fine to me, actually I do not
quite understand why you say that it's only an approximation to the
LRT?

Best wishes-
Lutz

On 7/11/07, Ravi Varadhan <rvaradhan at jhmi.edu> wrote:
> Check out the stepAIC function in MASS package.  This is a nice tool, where
> you can actually implement any penalty even though the function's name has
> "AIC" in it because it is the default.  Although this doesn't do an LRT test
> based variable selection, you can sort of approximate it by using a penalty
> of k = qchisq(1-p, df=1), where p is the p-value for variable selection.
> This penalty means that a variable enters/exits an existing model, when the
> absolute value of change in log-likelihood is greater than qchisq(1-p,
> df=1). For p = 0.1, k = 2.71, and for p=0.05, k = 3.84.  Is this whhant
> you'd like to do?
>
> Ravi.
>
> ----------------------------------------------------------------------------
> -------
>
> Ravi Varadhan, Ph.D.
>
> Assistant Professor, The Center on Aging and Health
>
> Division of Geriatric Medicine and Gerontology
>
> Johns Hopkins University
>
> Ph: (410) 502-2619
>
> Fax: (410) 614-9625
>
> Email: rvaradhan at jhmi.edu
>
> Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
>
>
>
> ----------------------------------------------------------------------------
> --------
>
>
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Lutz Ph. Breitling
> Sent: Wednesday, July 11, 2007 3:06 PM
> To: r-help at stat.math.ethz.ch
> Subject: [R] Stepwise GLM selection by LRT?
>
> Dear List,
>
> having searched the help and archives, I have the impression that
> there is no automatic model selection procedure implemented in R that
> includes/excludes predictors in logistic regression models based on
> LRT P-values. Is that true, or is someone aware of an appropriate
> function somewhere in a custom package?
>
> Even if automatic model selection and LRT might not be the most
> appropriate methods, I actually would like to use these in order to
> simulate someone else's modeling approach...
>
> Many thanks for all comments-
> Lutz
> -----
> Lutz Ph. Breitling
> German Cancer Research Center
> Heidelberg/Germany
>
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