[R] subset selection for logistic regression

[Frank E Harrell Jr]

Wittner, Ben wrote:
> R-packages leaps and subselect implement various methods of selecting best or
> good subsets of predictor variables for linear regression models, but they do
> not seem to be applicable to logistic regression models.
>  
> Does anyone know of software for finding good subsets of predictor variables for
> linear regression models?
>  
> Thanks.
>  
> -Ben

Why are these procedures still being used?  The performance is known to 
be bad in almost every sense (see r-help archives).

Frank Harrell

>  
> p.s., The leaps package references "Subset Selection in Regression" by Alan
> Miller. On page 2 of the
> 2nd edition of that text it states the following:
>  
>   "All of the models which will be considered in this monograph will be linear;
> that is they
>    will be linear in the regression coefficients.Though most of the ideas and
> problems carry
>    over to the fitting of nonlinear models and generalized linear models
> (particularly the fitting
>    of logistic relationships), the complexity is greatly increased."


-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University