> If we were to invent lm() now, how would we solve the problem of big P?
> I don't think we would use stars.
Assuming that this is a good idea in the first place, here's a simple
solution, in the context of backward selection.
One could sort the terms, from lowest p-value to highest p-value.
If each variable is associated with more than one parameter (e.g.
interactions), then it complicates things, however, the same principle
applies.
It would be possible to group terms, based on their significance level,
however, this is unlikely to be popular. You could also use a head() and
tail() approach, something I've been using a lot, in other contexts.
However, I think a better solution is to automate the backward selection
process, however, that requires decision rules, and we're back to the
original problem.
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