[R] Forward Stepwise regression based on partial F test

[Frank E Harrell Jr]

Smit, Robin wrote:
> I am hoping to get some advise on the following:
>  
> I am looking for an automatic variable selection procedure to reduce the
> number of potential predictor variables (~ 50) in a multiple regression
> model.
>  
> I would be interested to use the forward stepwise regression using the
> partial F test. 
> I have looked into possible R-functions but could not find this
> particular approach. 
>  
> There is a function (stepAIC) that uses the Akaike criterion or Mallow's
> Cp criterion. 
> In addition, the drop1 and add1 functions came closest to what I want
> but with them I cannot perform the required procedure. 
> Do you have any ideas? 
>  
> Kind regards,
> Robin Smit
> --------------------------------------------
> Business Unit TNO Automotive
> Environmental Studies & Testing
> PO Box 6033, 2600 JA Delft
> THE NETHERLANDS

Robin,

If you are looking for a method that does not offer the best predictive 
accuracy and that violates every aspect of statistical inference, you 
are on the right track.  See 
http://www.stata.com/support/faqs/stat/stepwise.html for details.

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