[R] Stepwise regression

Thomas Lumley tlumley at u.washington.edu
Fri Nov 30 18:04:35 CET 2001

uOn Fri, 30 Nov 2001, Pascal Grandeau wrote:

> I need to do a classic stepwise regression based not on AIC but on F in and
> F out (or on R2, or R2 adjusted). I have many variables and it will very
> useful for me to have a fast stepwise algorithm. Does anyone know if this
> exists for R and where I can find that ?

Stepwise regression using F tests is in the "leaps" package (as is
all-subsets regression).  It doesn't do adjusted R2 but there's not
much difference between AIC and adjusted R2.


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