[R] SAS proc reg stepwise procedure in R

[Prof Brian Ripley]

On Thu, 27 Sep 2007, Hans Ole Ørka wrote:

> I try to reproduce the SAS proc reg stepwise model selection procedure 
> in R,

But why?  If you want 1950s statistical methods why not use a 1960s 
package?  There are enough problems with stepwise selection (see e.g. the 
book by Frank Harrell and many postings here) even with a well-defined 
criterion like AIC, but that is better than an ad hoc algorithm, 
especially one based on forwards selection.
For a flavour of Frank's views see

http://finzi.psych.upenn.edu/R/Rhelp02a/archive/49353.html

Note that step() is stepwise by terms, not by variables.  If you have all 
terms as single variables, package 'leaps' will provide a better algorithm 
for choosing best subsets.  And in that case, step() is essentially the 
same as using F tests with 'F to enter/leave' = 2 (and you can use 
different 'k' to get different F limits).

If after further research you still want to do this in R, then R is a 
fully fledged programming language and it is quite easy to modify step() 
to use F tests, especially for single-variable terms.

> but the only function I found was "step" which select new 
> variables based on AIC. The SAS procedure I use add a new variable to 
> the model based on F statistics and a pre defined significant level. 
> Then before any new variables are added variables in the model that not 
> meet F statistics at the significant level will be removed. I have added 
> the SAS syntax for those of familiar with both software packages.

So I gather 'the significant level' for dropping is in fact not 'the' one 
used for adding?  This is essentially forwards selection.

>
> SAS syntax:
> proc reg
>        model Y=x1 x2 x3 .....xn
>        /selection=stepwise slentry=0.50 slstay=0.05;
>
> All ideas are appreciated
> Thanks,
> Hans Ole Ørka

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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