[R] help to setting a multiple (linear) regression model with a 5% signiﬁcance level (threshold) for the inclusion of the model variables.
Prof Brian Ripley
ripley at stats.ox.ac.uk
Tue Nov 22 18:01:42 CET 2011
On 22/11/2011 16:30, gianni lavaredo wrote:
> Dear Researchers,
> someone know the right syntax to chose a 5% signiï¬cance level (threshold)
> for the inclusion of the model variables in a multiple (linear) regression
> in backward way?
> I set the formula in this way, but I don't know to choose the 5%
That is not what step() does. Please do read the help page!
Select a formula-based model by AIC.
Note, 'by AIC'.
Now, as Frank Harrell says here often, stepwise methods are inadmissible
for prediction, and in addition stepwise F-test methods are always
invalid as they ignore multiple testing. So you won't find such methods
prominently available in R (and all the stepwise methods I am aware of
in R packages use AIC or similar).
The author of step()
> thanks in advance gianni
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Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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