Re: Stepwise regression

From: "J.G. Wright" <J.G.Wright@newcastle.ac.uk> Subject: Re: Stepwise regression Date: Fri, 24 Nov 2000 15:30:30 +0000 (GMT) Dear Niclas, The bias issue applies to any model-building procedure and can be avoided by splitting your data. Strictly speaking, one should select, estimate and evaluate on 3 different data sets. However, the problem with stepwise regression is more fundamental - if you try to make a series of conditioned hypotheses tests you are almost certain to go wrong at some point and then future hypothesis tests are conditioned on a misleading model. Stepwise regression is a recipe for disaster. However, we do still need to build models...perhaps we should focus on ways to make decision making more robust. These basically fall into two categories - be more cautious or use more data. Being more cautious loses powere and using more data is either expensive or subjective... There also various methodologies that supposedly help... Regards, James