[R] Can I do regression by steps?

[rlearner309]

Thanks for the reply.
I am awared of the difference, but can I do regression by steps at all?  I
am not feeling comfortable about it.



John Sorkin wrote:
> 
> Be very careful!
> When regression is performed by steps, you often will not get the same
> results as you would get from a single multivariable regression. The
> explanation for this is not simple, but a simplified explanation is that
> when you do your first regression,
> y=f(x1)
> all the total variance that can be accounted for is sucked up by x1
> leaving little varinace to be accounted for by your second regression,
> residuals=f(x2). In contrast when you perform a multivariable regression,
> y=f(x1,x2) the total variance is proportioned between x1 and x2.
> John
> 
> John David Sorkin M.D., Ph.D.
> Chief, Biostatistics and Informatics
> University of Maryland School of Medicine Division of Gerontology
> Baltimore VA Medical Center
> 10 North Greene Street
> GRECC (BT/18/GR)
> Baltimore, MD 21201-1524
> (Phone) 410-605-7119
> (Fax) 410-605-7913 (Please call phone number above prior to faxing)
> 
>>>> rlearner309 <unixunix99 at gmail.com> 7/8/2008 8:53 AM >>>
> 
> I saw this type of models in some of my company projects.  
> 
> To simplify:
> Y is regressed on X1 and X2.  But the regression is done by two steps: 
> First Y is regressed on X1 with intercept, and the residuals from the
> first
> step are used to regress on X2, without the constant.  The reason to do so
> is some observations have X1 data but do not have X2, so I guess the
> person
> wants to use as much information as he can to get the coef. for X1, and
> then
> use part of the residuals (that have X2 data) to catch what is left to be
> explained by X2.
> 
> But my concern is, should we consider the correlation between X1 and X2? 
> If
> residuals from the first step are used, then X1 effect has been removed. 
> Then what does it really mean by regressing residuals on X2, which has
> some
> X1 effect correlated with?? should X2 be adjusted by X1, too (regress X2
> on
> X1 and use the residuals)?  
> 
> What if both X1 and X2 are dummy variables?  Dummy variables can have a
> meaningful correlation, too, right?
> 
> Thanks a lot!
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