Re: Stepwise regression

From: "Niclas Jonsson" <Niclas.Jonsson@biof.uu.se> Subject: Re: Stepwise regression Date: Tue, 21 Nov 2000 14:38:50 +0200 (EET) Dear Vladimir, One way of summarizing Frank Harrells view on stepwise model selection is: All peeking at the data before fitting your model to it causes bias. The reason for this is that you tend to follow the signals/pattern you find (be it graphical or by a stepwise model selection) and there is no way of telling that the pattern you see is a true one or the results of randomness. In addition, even if the pattern you see is "true" there is a rather high likelihood that you spotted it just because it was particularly strong in the data sample at hand. This applies to both the structural components of our models as well as the covariate components. This is of course a pity since all model development we do tend to be driven by graphical, or other exploratory, means. Indeed, most of us would say that *not* looking at the data to see what model to use, is unwise. The apparent conflict in views here stems, I think, from the kind of applications we have. Mechanistic PK/PD modeling is very much a learning exercise, i.e. to a large extent we don't know what model we will have to use before we get the data. And even if we have a fair idea towards the end of drug development, we usually have to handle information about new aspects that couldn't have been studied in earlier development phases (e.g. drug-drug interactions), or we might have to handle the situation of much sparser data. In the more traditional world of confirmatory statistics, the structure of the data tends to be more standardized and it is consequently easier to pre-specify the data analysis method. In summary, I think that we should be aware of the dangers of stepwise model building but realize that this kind of approach is an essential component in our efforts to make sense out of the data we are to analyze. (I also attended the Frank Harrel course Mats mentioned and it *was* very good!) Best regards, Niclas Jonsson -- Department of Pharmacy Uppsala University Box 580 SE-751 23 Uppsala Sweden Phone: +46 18 471 43 85 Fax: +46 18 471 40 03 Mobile: +46 70 485 61 98 E-mail: niclas.jonsson@biof.uu.se