RE: order of covariate inclusion

From: Ken.Kowalski@pfizer.com Subject: RE: [NMusers] order of covariate inclusion Date: 9/25/2003 2:04 PM Pete, I agree with Leonid. Stepwise procedures and in particular forward selection can be very sensitive to collinearity (correlation) among the covariates. I'm out of the office the rest of the week so I can't provide you with specific references right now. You should be able to find discussions on the effects of multicollinearity in multiple linear regression in standard statistical texts on linear regression. The effects of multicollinearity on estimation extend to covariate model building with simple and mixed effects nonlinear models even though such effects may not have been discussed in the population modeling literature. If you have a copy of my JPP 2001 paper on the WAM algorithm, I believe I reference a paper by Burk (Technometrics 1977?) that discusses some of the pitfalls with stepwise procedures when there is collinearity among the regressors. Ken