[R] Stepwise logistic regression with significance testing - stepAIC

[David Freedman]

Didn't a 2008 paper by Austin in J Clin Epidemiol show that bootstrapping was
just as bad as backward stepwise regression for finding the true predictors?

http://xrl.in/26em



Dimitris Rizopoulos-4 wrote:
> 
> 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
> 
> Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
> Tel: +31/(0)10/7043478
> Fax: +31/(0)10/7043014
> 
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