David Freedman wrote:
Didn't a 2008 paper by Austin in J Clin Epidemiol show that bootstrapping was
just as bad as backward stepwise regression for finding the true predictors?
Yes
Any variable selection without shrinkage is problematic.
Frank
http://xrl.in/26em
Dimitris Rizopoulos-4 wrote:
Greg Snow wrote:
There is not a meaningful alternative way since the way you propose is
not meaningful. The Wald tests have some know problems even in the well
defined cases. Both types of tests are designed to test a predefined
hypothesis, not a conditional hypothesis on the stepwise procedure. It
is best to use other approaches than stepwise selection (it has been
shown to give biased results) such as the lasso. If you need to use
stepwise, then you should bootstrap the entire selection process to get
better estimates/standard errors.
For bootstrapping the stepAIC procedure you may have a look at package
bootStepAIC.
Best,
Dimitris
Frank Harrell's book and package go into more detail on this and provide
some tools to help (as well as the other packages that can be used).
Hope this helps,
--
Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus University Medical Center
Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
Tel: +31/(0)10/7043478
Fax: +31/(0)10/7043014
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--
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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