[R] covariate selection?

[Kjetil Brinchmann Halvorsen]

Ian Fiske wrote:

> Hello,
>
> I am hoping someone can help me with the following multivariate 
> issue:  I have a model consisting of about 50 covariates.  I would 
> like to reduce this to about 5 covariate for the reduced model by 
> combining cofactors that are strongly correlated.  Is there a package 
> or function that would help me with this in R?  I appreciate any 
> suggestions.
>
> Thanks,
> Ian
>
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>
have a look at package leaps, and also consider ridge regression.

-- 

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra