On Thu, Aug 4, 2011 at 9:35 PM, Marc Schwartz <marc_schwa...@me.com> wrote: >> Suppose that you are trying to create a binary logistic model by >> trying different combinations of predictors. Has R got an automatic >> way of doing this, i.e., is there some way of automatically generating >> different tentative models and checking their corresponding AIC value? >> If so, could you please direct me to an example? > > Hi Paul, > > If it were not for JSS going on at the moment, you would likely get a reply > from Frank Harrell telling you why using this approach is not a good idea. > This is tantamount to using a stepwise approach with variables going in and > out of the model, based upon either AIC or perhaps Wald p values. > > If you search the R list archives using rseek.org with keywords such as > "stepwise regression Harrell", you will see a plethora of discussions on this > over the years. > > You might want to obtain a copy of Frank's book Regression Modeling > Strategies along with Ewout Steyerberg's book Clinical Prediction Models, > which cover this topic and offer alternative solutions to model development. > These generally include the pre-specification of full models, considering how > many covariate degrees of freedom you can reasonably include in the model and > applying shrinkage/penalization. > > If you need to engage in data reduction, you might want to consider using the > LASSO, as implemented in the glmnet package on CRAN. More information on this > method is available at: http://www-stat.stanford.edu/~tibs/lasso.html. An > alternative might be backward elimination, which Frank does touch on and > covers in: > > http://biostat.mc.vanderbilt.edu/wiki/pub/Main/RmS/rms.pdf > > which is a supplement to his course. > > Automated creation of models ignores the expertise of both the statistician > and subject matter experts, to the detriment of inference.
Thanks, Marc, for your very useful reply. Paul ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
