[R] Variable Selection for Logistic Regression

[Manish MAHESHWARI]

Hi,

I have a dataset with approx 400K Rows and 900 columns with a single dependent variable of 0/1 flag. The independent variables are both categorical and numerical. I have looked as SO/Cross Validated Posts but couldn't get an answer for this.

Since I cannot try all possible combinations of variables or even attempt single model with all 900 columns, I am planning to create independent models of each variable using something like below -

out = NULL
xnames = colnames(train)[!colnames(train) %in% ignoredcols]
for (f in xnames) {
    glmm = glm(train$conversion_flag ~ train[,f] - 1 , family = binomial)
    out = rbind.fill(out,as.data.frame(cbind(f,fmsb::NagelkerkeR2(glmm)[2]$R2)))
    out = rbind.fill(out,as.data.frame(cbind(f,'AIC',summary(glmm)$aic)))
}

This will give me the individual AIC and pseudo R2 for each of the variables. Post that I plan to select the variables with the best scores for both AIC and pseudoR2. Does this approach make sense?

I obviously will use a nfold cross validation in the final model to ensure accuracy and avoid over fitting. However before I reach that I plan to use the above to select which variables to use.

Thanks,
Manish
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