[R] variable selection in logistic

[Frank E Harrell Jr]

annie Zhang wrote:
> Hi, Frank,
>  
> You mean the backward and forward stepwise selection is bad? You also 
> suggest the penalized logistic regression is the best choice? Is there 
> any function to do it as well as selecting the best penalty?
>  
> Annie

All variable selection is bad unless its in the context of penalization. 
  You'll need penalized logistic regression not necessarily with 
variable selection, for example a quadratic penalty as in a case study 
in my book, or an L1 penalty (lasso) using other packages.

Frank

> 
> On Wed, Sep 2, 2009 at 7:41 PM, Frank E Harrell Jr 
> <f.harrell at vanderbilt.edu <mailto:f.harrell at vanderbilt.edu>> wrote:
> 
>     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
> 
> 


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