Re: order of covariate inclusion
From: lgibiansky@emmes.com
Subject: Re: [NMusers] order of covariate inclusion
Date: 9/25/2003 12:39 PM
I do not know specific references, but I am sure this has a great impact. That is
why forward addition procedure assumes testing all covariates, and then adding the
most significant one. This is not the perfect way to build the model, but at least
it gives unique model. As an extreme example, suppose that you have two identical
covariates. Then the one that you test first will be significant, and the second
one will add nothing. For your example, if sex and weight are confounded, you may
end up including into the model the first that you test even if the second one
gives you slightly better model.
Leonid