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Stepwise Regression
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Frank
Nov 13, 2009, 12:55:07 PM11/13/09
to
If an independent is not univariately significant at 0.20 level, but
significant at 0.05 level in the
final model. Should we include it in the final model? Suppose we
don't have collinearitty and all other things are fine, without any
other problem.
significant at 0.05 level in the
final model. Should we include it in the final model? Suppose we
don't have collinearitty and all other things are fine, without any
other problem.
Rich Ulrich
Nov 13, 2009, 5:12:17 PM11/13/09
to
WHY is there a step? Use "all variables" unless there is a good
reason. Then, lean on the "good reasons" for how-to-select.
For most purposes, stepwise regression is universally condemned.
See the page that Bruce Weaver recently cited,
http://www.stata.com/support/faqs/stat/stepwise.html
or search Google-groups < stepwise group:sci.stat.* author:ulrich > .
(The "group: ..." specification seems to work, today, though
I've read a few times in recent weeks that it has been flaky lately.)
--
Rich Ulrich
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