[R] Stepwise regression

Timothy.Mak at iop.kcl.ac.uk Timothy.Mak at iop.kcl.ac.uk
Thu Dec 14 15:37:41 CET 2006


Dear all, 

I am wondering why the step() procedure in R has the description 'Select a 
formula-based model by AIC'. 

I have been using Stata and SPSS and neither package made any reference to 
AIC in its stepwise procedure, and I read from an earlier R-Help post that 
step() is really the 'usual' way for doing stepwise (R Help post from Prof 
Ripley, Fri, 2 Apr 1999 05:06:03 +0100 (BST)). 

My understanding of the 'usual' way of doing say forward regression is 
that variables whose p value drops below a criterion (commonly 0.05) 
become candidates for being included in the model, and the one with the 
lowest p among these gets chosen, and the step is repeated until all p 
values not in the model are above 0.05, cf Hosmer and Lemeshow (1989) 
Applied Logistic Regression. The procedure does not require examination of 
the AIC. 

I am not well aquainted with R enough to understand the codes used in 
step(), so can somebody tell me how step() works?

Thanks very much, 

Tim



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