[R] Stepwise logistic regression with significance testing - stepAIC

Frank E Harrell Jr f.harrell at vanderbilt.edu
Wed May 6 04:33:05 CEST 2009

David Freedman wrote:
> Didn't a 2008 paper by Austin in J Clin Epidemiol show that bootstrapping was
> just as bad as backward stepwise regression for finding the true predictors?


Any variable selection without shrinkage is problematic.

> http://xrl.in/26em
> Dimitris Rizopoulos-4 wrote:
>> Greg Snow wrote:
>>> There is not a meaningful alternative way since the way you propose is
>>> not meaningful.  The Wald tests have some know problems even in the well
>>> defined cases.  Both types of tests are designed to test a predefined
>>> hypothesis, not a conditional hypothesis on the stepwise procedure.  It
>>> is best to use other approaches than stepwise selection (it has been
>>> shown to give biased results) such as the lasso.  If you need to use
>>> stepwise, then you should bootstrap the entire selection process to get
>>> better estimates/standard errors.  
>> For bootstrapping the stepAIC procedure you may have a look at package 
>> bootStepAIC.
>> Best,
>> Dimitris
>>> Frank Harrell's book and package go into more detail on this and provide
>>> some tools to help (as well as the other packages that can be used).
>>> Hope this helps,
>> -- 
>> Dimitris Rizopoulos
>> Assistant Professor
>> Department of Biostatistics
>> Erasmus University Medical Center
>> Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
>> Tel: +31/(0)10/7043478
>> Fax: +31/(0)10/7043014
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.

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

More information about the R-help mailing list