R help - Aug 2010 - Stepwise Regression + entry/exit significance level

Hi R,

 

Does the "step" function used to perform stepwise regression has the
option to specify the entry/exit significance levels for the independent
variables? (This is similar to the 'slentry' and 'slstay' option
in
'Proc reg' of SAS.). Or do we have any other package which does the
above? Thanks.

 

 

Thanks and Regards,

Shubha

 

 

This e-mail may contain confidential and/or privileged i...{{dropped:13}}

The values of slentry and slstay that will avoid ruining the 
statistical properties of the result are slentry=1.0 and slstay=1.0.

Frank

Frank E Harrell Jr   Professor and Chairman        School of Medicine
                      Department of Biostatistics   Vanderbilt University

On Sat, 14 Aug 2010, Shubha Vishwanath Karanth wrote:
> Hi R,
>
>
>
> Does the "step" function used to perform stepwise regression has
the
> option to specify the entry/exit significance levels for the independent
> variables? (This is similar to the 'slentry' and 'slstay'
option in
> 'Proc reg' of SAS.). Or do we have any other package which does the
> above? Thanks.
>
>
>
>
>
> Thanks and Regards,
>
> Shubha
>
>
>
>
>
> This e-mail may contain confidential and/or privileged i...{{dropped:13}}
>
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> and provide commented, minimal, self-contained, reproducible code.
>

Shubha Vishwanath Karanth wrote:
> Hi R,
> 
>  
> 
> Does the "step" function used to perform stepwise regression has
the
> option to specify the entry/exit significance levels for the independent
> variables? (This is similar to the 'slentry' and 'slstay'
option in
> 'Proc reg' of SAS.). Or do we have any other package which does the
> above? Thanks.
> 
That procedure is considered unreliable (someone called Frank is likely
to chime in with a reference to a book on regression modeling
strategies). Cloning obsolete SAS functionality is not high on the
priority list. It is probably not massively hard to modify the step
function to do it, though; all the building blocks would seem to be there.

-- 
Peter Dalgaard
Center for Statistics, Copenhagen Business School
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com