Hello Peng,
What you are talking about is "model selection" process.
Although it also sound like you are referring to the more general subject of
regression model strategies, consider finding this book:
http://www.amazon.com/Regression-Modeling-Strategies-Frank-Harrell/dp/0387952322

Frank Harrell is a very insightful lecturer, I heard his writing is also
good.

I would love to read recommendation from other R members regarding your
question.

Best,
Tal




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On Wed, Nov 18, 2009 at 9:48 PM, Peng Yu <pengyu.ut@gmail.com> wrote:

> I'm wondering how to choose an appropriate linear model for a given
> problem. I have been reading Applied Linear Regression Models by John
> Neter, Michael H Kutner, William Wasserman and Christopher J.
> Nachtsheim. I'm still not clear how to choose an appropriate linear
> model.
>
> For multi-factor ANOVA, shall I start with all the interaction terms
> and do an F-test to see with interaction terms are not significant,
> then do a linear regression on a model without the non-significant
> iteration term?
>
> Could somebody point me some good book or chapters on this topic?
>
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> and provide commented, minimal, self-contained, reproducible code.
>

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