[R] variable selection in logistic

Frank E Harrell Jr f.harrell at vanderbilt.edu
Thu Sep 3 04:41:44 CEST 2009


David Winsemius wrote:
> 
> On Sep 2, 2009, at 9:36 PM, annie Zhang wrote:
> 
>> Hi, R users,
>>
>> What may be the best function in R to do variable selection in logistic
>> regression?
> 
> PhD theses, and books by famous statisticians have been pursuing the 
> answer to that question for decades.
> 
>> I have the same number of variables as the number of samples,
>> and I want to select the best variablesfor prediction. Is there any 
>> function
>> doing forward selection followed by backward elimination in stepwise
>> logistic regression?
> 
> You should probably be reading up on penalized regression methods. The 
> stepwise procedures reporting unadjusted "significance" made available 
> by SAS and SPSS to the unwary neophyte user have very poor statistical 
> properties.
> 
> -- 
> 
> David Winsemius, MD

Amen to that.

Annie, resist the temptation.  These methods bite.

Frank


> Heritage Laboratories
> West Hartford, CT
> 
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-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University




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