[R] Stepwise logistic regression with significance testing - stepAIC

[Dimitris Rizopoulos]

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 
bootStepAIC.

Best,
Dimitris


> 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,
> 

-- 
Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus University Medical Center

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