Marc, thank you very much for your help.
I've posted in on
and added details.
Many thanks
Marco
--On 31 July 2012 11:50 -0500 Marc Schwartz wrote:
> On Jul 31, 2012, at 10:35 AM, M Pomati wrote:
>
> >
> >
> > Does anyone know of any X^2 tests to compare the fit of logistic models
> > which factor out the sample size? I'm dealing with a very large sample
and
> > I fear the significant X^2 test I get when adding a variable to the
model
> > is simply a result of the sample size (>200,000 cases).
> >
> > I'd rather use the whole dataset instead of taking (small) random
samples
> > as it is highly skewed. I've seen things like Phi and Cramer's V for
> > crosstabs but I'm not sure whether they have been used before on
logistic
> > regression, if there are better ones and if there are any packages.
> >
> >
> > Many thanks
> >
> > Marco
>
>
>
> Sounds like you are bordering on some type of stepwise approach to
including or not including covariates in the model. You can search the list
archives for a myriad of discussions as to why that is a poor approach.
>
> You have the luxury of a large sample. You also have the challenge of
interpreting covariates that appear to be statistically significant, but
may have a rather small *effect size* in context. That is where subject
matter experts need to provide input as to interpretation of the contextual
significance of the variable, as opposed to the statistical significance of
that same variable.
>
> A general approach, is to simply pre-specify your model based upon rather
simple considerations. Also, you need to determine if your goal for the
model is prediction or explanation.
>
> What is the incidence of your 'event' in the sample? If it is say 10%,
then you should have around 20,000 events. The rule of thumb for logistic
regression is to have around 20 events per covariate degree of freedom (df)
to minimize the risk of over-fitting the model to your dataset. A
continuous covariate is 1 df, a k-level factor is k-1 df. So with 20,000
events, your model could feasibly have 1,000 covariate df's. I am guessing
that you don't have that much independent data to begin with.
>
> So, pre-specfy your model on the full dataset and stick with it. Interact
with subject matter experts on the interpretation of the model.
>
> BTW, this question is really about statistical modeling generally, not
really R specific. Such queries are best posed to general statistical
lists/forums such as Stack Exchange. I would also point you to Frank
Harrell's book, Regression Modeling Strategies.
>
> Regards,
>
> Marc Schwartz
>
>
----------------------
M Pomati
University of Bristol
School for Policy Studies
8 Priory Road
Office:10B
Bristol BS8 1TZ, UK
http://www.bristol.ac.uk/sps/research/centres/poverty
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