[R] variable selection in logistic

[Frank E Harrell Jr]

David Winsemius wrote:
> 
> On Sep 2, 2009, at 9:36 PM, annie Zhang wrote:
> 
>> Hi, R users,
>>
>> What may be the best function in R to do variable selection in logistic
>> regression?
> 
> PhD theses, and books by famous statisticians have been pursuing the 
> answer to that question for decades.
> 
>> I have the same number of variables as the number of samples,
>> and I want to select the best variablesfor prediction. Is there any 
>> function
>> doing forward selection followed by backward elimination in stepwise
>> logistic regression?
> 
> You should probably be reading up on penalized regression methods. The 
> stepwise procedures reporting unadjusted "significance" made available 
> by SAS and SPSS to the unwary neophyte user have very poor statistical 
> properties.
> 
> -- 
> 
> David Winsemius, MD

Amen to that.

Annie, resist the temptation.  These methods bite.

Frank


> Heritage Laboratories
> West Hartford, CT
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide 
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 


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