[R] Stepwise regression for multivariate case in R?

Frank Harrell f.harrell at vanderbilt.edu
Fri Apr 26 19:16:21 CEST 2013

Since stepwise methods do not work as advertised in the univariate case I'm
wondering why they should work in the multivariate case.

Jonathan Jansson wrote
> Hi! I am trying to make a stepwise regression in the multivariate case,
> using Wilks' Lambda test.
> I've tried this: 
>>  greedy.wilks(cbind(Y1,Y2) ~ . , data=my.data )
> But it only returns:
> Error in model.frame.default(formula = X[, j] ~ grouping,
> drop.unused.levels = TRUE) : 
>   variable lengths differ (found for 'grouping') 
> What can be wrong here? I have checked and all variables in my.data is of
> the same length.
> //Jonathan
> 	[[alternative HTML version deleted]]
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Frank Harrell
Department of Biostatistics, Vanderbilt University
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