[R] Stepwise regression scope: all interacting terms (.^2)

[David Winsemius]

On Nov 16, 2012, at 12:16 PM, Mark Ebbert wrote:

> I haven't heard anything on this question. Is there something fundamentally wrong with my question? Any feedback is appreciated.
> 

Perhaps failure to read this sig at the bottom of every posted message to rhelp?

"PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code."


> Mark
> On Nov 15, 2012, at 8:13 AM, Mark T. W. Ebbert wrote:
> 
>> Dear Gurus,
>> 
>> Thank you in advance for your assistance. I'm trying to understand scope better when performing stepwise regression using "step."

From the help page of step:
"If scope is a single formula, it specifies the upper component, and the lower model is empty. "

>> I have a model with a binary response variable and 10 predictor variables. When I perform stepwise regression I define scope=.^2 to allow interactions between all terms.

I generally avoid answering questions about stepwise regression, because most of them do not include sufficient background material to justify that strategy. Yours certainly did not. 


>> But I am missing something. When I perform stepwise regression (both directions) on the main model (y~x1+x2+…+x10) the method returns quickly with an answer; however, when I define all interactions in the main model (y~x1+x2+…+x10+x1:x2+x1:x3+…) and then perform stepwise regression (backward only) it runs so long I have to kill it. 
>> 
>> So here's my question: what is the difference between scope=.^2 on the additive (proper term?) model and defining all interactions and doing backward regression? My understanding is that .^2 is supposed to allow all interactions!

Well, I would have guessed all two-way interactions (all 45  of them in your case) would be included and then successively reduce until you got to your specified (arbitrary and most likely incorrectly set) endpoint.) I think the help page Details section is unclear on this point. I do not think that the 120 potential three-way interactions are part of the scope in that instance, but it should be easy enough for you to test that possibility.

-- 
David Winsemius, MD
Alameda, CA, USA