[R] Stepwise logistic regression with significance testing - stepAIC
d.rizopoulos at erasmusmc.nl
Tue May 5 18:37:20 CEST 2009
Greg Snow wrote:
> There is not a meaningful alternative way since the way you propose is not meaningful. The Wald tests have some know problems even in the well defined cases. Both types of tests are designed to test a predefined hypothesis, not a conditional hypothesis on the stepwise procedure. It is best to use other approaches than stepwise selection (it has been shown to give biased results) such as the lasso. If you need to use stepwise, then you should bootstrap the entire selection process to get better estimates/standard errors.
For bootstrapping the stepAIC procedure you may have a look at package
> Frank Harrell's book and package go into more detail on this and provide some tools to help (as well as the other packages that can be used).
> Hope this helps,
Department of Biostatistics
Erasmus University Medical Center
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