[R] Stepwise in lme

[Frank Harrell]

Stepwise regression without proper penalization is invalid.
Frank

Pablo wrote
> 
> I'm manually doing a form of stepwise regression in a mixed model but with
> many variables, it is time consuming.  I thought I'd try to use an
> automated approach.  stepAIC gave me false convergence when I used it with
> my model, so I thought it can't be hard to set up a basic program to do it
> based on the p-values.  Thus I tried a couple of (very) crude options:
> 
> 1) trying to 'multiply' my 40 terms by a vector of length 40 of 1's (some
> of which would then become 0's so that the term would be effectively
> eliminated in the model).  This didn't work as lme didn't recognise the
> vector.
> 2) setting the term I wished to drop to a column of 0's so it couldn't be
> used in the analysis, but this created a singularity which then stopped
> lme from working....
> 
> Hmm, perhaps I should abandon such abominations ... does anyone have some
> advice on how I might get such a crude method working or must I turn back
> and fight with stepAIC?
> 
> Thank you!
> 


-----
Frank Harrell
Department of Biostatistics, Vanderbilt University
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