Hi, Frank,

You mean the backward and forward stepwise selection is bad? You also
suggest the penalized logistic regression is the best choice? Is there any
function to do it as well as selecting the best penalty?

Annie

On Wed, Sep 2, 2009 at 7:41 PM, Frank E Harrell Jr <f.harrell@vanderbilt.edu
> wrote:

>  David Winsemius wrote:
>
>>
>> On Sep 2, 2009, at 9:36 PM, annie Zhang wrote:
>>
>> Hi, R users,
>>>
>>> What may be the best function in R to do variable selection in logistic
>>> regression?
>>>
>>
>> PhD theses, and books by famous statisticians have been pursuing the
>> answer to that question for decades.
>>
>> I have the same number of variables as the number of samples,
>>> and I want to select the best variablesfor prediction. Is there any
>>> function
>>> doing forward selection followed by backward elimination in stepwise
>>> logistic regression?
>>>
>>
>> You should probably be reading up on penalized regression methods. The
>> stepwise procedures reporting unadjusted "significance" made available by
>> SAS and SPSS to the unwary neophyte user have very poor statistical
>> properties.
>>
>> --
>>
>> David Winsemius, MD
>>
>
> Amen to that.
>
> Annie, resist the temptation.  These methods bite.
>
> Frank
>
>
>  Heritage Laboratories
>> West Hartford, CT
>>
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>>
>>
>
> --
> Frank E Harrell Jr   Professor and Chair           School of Medicine
>                     Department of Biostatistics   Vanderbilt University
>

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