[R] How to exclude insignificant intercepts using "step" function

[David Winsemius]

On Jun 23, 2009, at 3:08 AM, Chris Friedl wrote:

>
> I appreciate that you are trying to help me but I don't fully  
> understand your
> point.

The point is that in very few applications can one legitimately  
"exclude" an intercept. In this situation (stepwise regression) I am  
able to think of a way to make the intercept just another covariate,  
but I see theoretic objects with that approach. Of course there are  
problems with stepwise regression as well.


> At one point I did say "... the intercept is not significantly
> different from zero". I admit I also said "dropping the intercept  
> term"
> which in my loose application of terminology means force the  
> intercept to a
> value of zero. So yes the intercept exists and it has a value but  
> that value
> is not significantly different from zero. This does not make the  
> intercept
> non-significant or exclude an intercept in any way. If that was your  
> point
> then I stand corrected for my loose use of terminology. If not, then  
> perhaps
> you can expand a little more.
>
> Perhaps the following will explain what I'm after. Fitting y ~ x1+x2  
> for
> dataframe d1 gives the following:
>
>> summary(lm(y~x1+x2, data=d1))

OK, this is on your head. Make sure you know how not to burn yourself  
with this:

 > model <- y ~ x1*x2 + one -1
 > data2$one <- 1
 > by(data2, data2$grp, function(x) step(lm(model, data=x)))

Lets the intercept just be another variable.

> <snip>
>
> For my real application theory would suggest the intercept is zero  
> for each
> of the thousands of groups in my dataset. Of course I can fit y ~  
> x1+x2 and
> where the summary info suggests the intercept is not significantly  
> different
> from zero, refit y ~ -1+x1+x2. I just wondered whether step or some  
> other
> function could do that for me in one R expression.
>
> Thanks again.
>
>
>
> David Winsemius wrote:
>>
>> I think you should explain (to yourself primarily) what it means to
>> have a non-significant intercept. If you can justify on a theoretic
>> basis the exclusion of an intercept, then you may get more  
>> assistance.
>> However, if you are just naively questing after some mythical concept
>> of "significance", people may be less motivated to solve what most
>> would consider to be an "insignificant" question.
>>
>> -- 
>> DW

David Winsemius, MD
Heritage Laboratories
West Hartford, CT