Re: order of covariate inclusion
From: lgibiansky@emmes.com
Subject: [NMusers] Re: order of covariate inclusion
Date: 9/25/2003 2:25 PM
Pete,
Let's first define what is "significant". In NONMEM discussions, significant
means that the difference in objective function between the nested models is
less then significance threshold delta.
If you test
base (with objective function OFbase)
base + age (OFage)
base + weight (OFweight)
and see that OFbase - OFage > delta, OFbase- OFweight > delta
and OFage > OFweight, you include weight into the model (because weight
provides you with the lower objective function).
Then you test
base + weight + age (OFboth)
If OFweight - OFboth < delta, you do not include age into the model.
If OFweight - OFboth > delta, you include age into the model in
addition to weight.
End of the forward addition procedure.
Note that the end of forward addition procedure may or may not
coincide with the end of modeling process. You may found out
that although the model with age and weight gives you better
OF that weight alone, the standard errors of the estimates (for
coefficients that describe covariates) increase dramatically, leading
to the model instability due to collaterality of covariates. Then
you need to decide (and as far as I know, there are no formal rules
how to do it) whether to include extra covariate into the model
and accept large uncertainty of the parameter estimates or use
fewer covariates with larger confidence in the parameters.
Leonid