[R] Stepwise regression

Maithili Shiva maithili_shiva at yahoo.com
Wed Dec 10 07:34:56 CET 2008


I have the response variable 'Y' and four predictors say X1, X2, X3 and X4. Assuming all the assmptions like Y follows normal distribution etc. hold and I want to run linear multiple regression. How do I run the stepwise regression (forward as well as the backward regression).

>From other software (i.e. minitab), I know only X1 and X2 are significant so my regression equation should be Y = constant + (b1) X1 + (b2) X2.

I am not sure whether I am using the correct R commands, which are as follows -

library (wle)
ONS <- mle.stepwise(Y ~ X1+X2+X3+X4, data=ONS)

The output looks something like this


 Forward  selection procedure

F.in:  4 

Last  3  iterations:
     (Intercept) X1 X2 X3 X4      
[1,]           1  0  0  0  1 15.57
[2,]           1  1  0  0  1 14.80
[3,]           1  1  1  0  1 61.56

I am not able to interpret this outcome as well.

Please guide.

With regards


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