[R] variable selection in logistic

[David Winsemius]

On Sep 2, 2009, at 9:36 PM, annie Zhang wrote:

> Hi, R users,
>
> What may be the best function in R to do variable selection in  
> logistic
> regression?

PhD theses, and books by famous statisticians have been pursuing the  
answer to that question for decades.

> I have the same number of variables as the number of samples,
> and I want to select the best variablesfor prediction. Is there any  
> function
> doing forward selection followed by backward elimination in stepwise
> logistic regression?

You should probably be reading up on penalized regression methods. The  
stepwise procedures reporting unadjusted "significance" made available  
by SAS and SPSS to the unwary neophyte user have very poor statistical  
properties.

--

David Winsemius, MD
Heritage Laboratories
West Hartford, CT