Re: Stepwise regression

From: Mats Karlsson <Mats.Karlsson@biof.uu.se> Subject: Re: Stepwise regression Date: Tue, 21 Nov 2000 13:41:10 +0100 Dear Vladimir, I was to a course given by Frank Harrell recently (he was very good). It was very sobering and I think we will have to rethink what we're doing. I have certainly no new ideas, but for what it's worth, I think covariate-parameter relationships should be divided into two categories, those for which I want to determine the covariate-parameter relationship ("confirmatory") and those I want to screen for hypothesis generation ("exploratory"). Covariate model building could then be divided into 3 steps: Step 1. Include all confirmatory covariate-parameter relationships into the model and estimate coefficients. This will result in the full (and also possibly final model) where coefficients are unbiased. CI's of covariate coefficients can be obtained by a suitable method as recently discussed here on the nmusers. These coefficients should be unbiased (up to the accuracy of the method used). Step 2. Maybe not necessary, but relationships of no influence in Step 1 are eliminated to result in a smaller "final" confirmatory model. Step 3. Start from the final confirmatory model and do stepwise search according to one of the method we use today to obtain an exploratory model, which I would put less trust in compared to the confiramtory model. The coefficients are likely to be biased. I would then use the confirmatory and exploratory models for partly different purposes. In addition, I would try to be mechanistic in selection of relationships (as advocated by e.g. Nick Holford) and avoid the use of highly correlated covariates (not to use WT, HT, BMI, IBW, BSA, ... as alternative covariates to be selected between). I haven't really implemented this yet and it is a bit cumbersome, so I hope someone can tell me that there is an easier way to handle this problem! Best regards, Mats -- Mats Karlsson, PhD Professor of Biopharmaceutics and Pharmacokinetics Div. of Biopharmaceutics and Pharmacokinetics Dept of Pharmacy Faculty of Pharmacy Uppsala University Box 580 SE-751 23 Uppsala Sweden phone +46 18 471 4105 fax +46 18 471 4003 mats.karlsson@biof.uu.se