[R] Select some, but not all, variables stepwise

Frank Harrell f.harrell at vanderbilt.edu
Fri Nov 4 14:18:07 CET 2011

Resist the temptation.  Stepwise analysis without shrinkage will ruin model
inferences without helping with predictive accuracy.

AndreE wrote:
> Hi,
> I would like to fit a linear model where some but not all explanators are
> chosen stepwise - ie I definitely want to include some terms, but others
> only if they are deemed significant (by AIC or whatever other approach is
> available).  For example if I wanted to definitely include x1 and x2, but
> only include z1 and z2 if they are significant, something like this:
> df <- data.frame(y=c(4,2,6,7,3,9,5,7,6,2), x1=c(2,3,4,0,5,8,8,1,1,2),
> x2=c(0,0,0,0,1,1,0,0,0,1), z1=c(0,1,0,0,0,1,1,0,1,1),
> z2=c(1,1,1,0,0,1,1,1,1,0))
> model <- lm(y  ~ x1 + x2 + stepwise(z1 + z2))
> Any help would be appreciated.
> Cheers,
> Andre
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Frank Harrell
Department of Biostatistics, Vanderbilt University
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