[R] Generating all possible models from full model

[Ben Bolker]

Frank E Harrell Jr <f.harrell <at> Vanderbilt.Edu> writes:

> 
> Please read the large number of notes in the e-mail archive about the 
> invalidity of such modeling procedures.
> 
> Frank
> 

  I'm curious: do you have an objection to multi-model averaging
a la Burnham, Anderson, and White (as implemented in the MuMIn
package)?  i.e., *not* just picking the
best model, and *not* trying to interpret statistical significance
of particular coefficients, but trying to maximize predictive
capability by computing the AIC values of many candidate models
and weighting predictions accordingly (and incorporating among-model variation
when computing prediction uncertainty)?  (I would look for the
answer in your book, but I have lost my copy by loaning it out 
& haven't got a new one yet ...)