[R] Stepwise logistic regression with significance testing - stepAIC

[Frank E Harrell Jr]

David Freedman wrote:
> 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?

Yes

Any variable selection without shrinkage is problematic.
Frank

> 
> 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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>>
> 


-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University