RE: order of covariate inclusion -> avoiding stepwise approaches

From: marc.gastonguay@snet.net Subject: RE: [NMusers] order of covariate inclusion -> avoiding stepwise approaches Date: 9/26/2003 8:19 AM Gary, Thanks for your comments. As you indicated, we are industrial scientists, and I think that we should allow science to drive our model building - not some formula that is pre-defined by "more statistically oriented users". In fact, some statisticians feel the same way: Here's a quote from Henderson and Velleman's paper "Building multiple regression models interactively" (1981, Biometrics 37: 391-411): "The data analyst knows more than the computer," ..."failure to use that knowledge produces inadequate data analysis". Whatever approach you choose to take, please remeber Box's point of view that the resulting model is still the "wrong" model. If we use science (not art and not statistics) to guide the covariate model I think we'd all agree that the resulting model is a more "useful" one. That's not to say that we should not provide evidence of goodness of fit, predictive performance, and lack of bias with respect to remaining covariates, etc. I just think we should spend more time on evaluating the model and parameter estimates and less time on a prescribed stepwise model building approach that is known to be problematic. Best regards, Marc