[R] step

[Gavin Simpson]

On Fri, 2010-08-27 at 11:03 -0300, Silvano wrote:
> Hi,
> 
> how can I change the significance level in test F to select 
> variable in step command?
> 
> I used
> 
> step(model0, ~x1+x2+x3+x4, direction=c("forward"), test='F', 
> alpha=.05)
> 
> but it does't work.

Well, there is no 'test' argument, nor 'alpha', in stats:::step so no
wonder it doesn't work.

step() doesn't do F tests and my reading of ?step leads me to understand
that it was never designed to. Despite it using add1/drop1 it only
passes arguments to extractAIC and that is documented to do nothing with
extra arguments.

You will need to do this manually using:

add1(...., test = "F")

and then it will quote a p-value and you can decide whether to
include/exclude.

Or use step() and use AIC (or BIC) for model selection. Or perhaps
instead try the lasso or ridge regression... See the machine learning
task view for details of those:

http://cran.r-project.org/web/views/MachineLearning.html

HTH

G
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