R help - Aug 2007 - Regsubsets statistics

Dear R-help,

I have used the regsubsets function from the leaps package to do subset 
selection of a logistic regression model with 6 independent variables and 
all possible ^2 interactions. As I want to get information about the 
statistics behind the selection output, I?ve intensively searched the 
mailing list to find answers to following questions:

1. What should I do to get the statistics behind the selection (e.g. BIC)? 
summary.regsubsets(object) just returns "*" meaning "in" or
" " meaning out.
For the plot function generates BICs, it is obviously that these values must 
be computed and available somewhere, but where? Is it possible to directly 
get AIC values instead of BIC?
2. As to the plot function, I?ve encountered a problem with setting the ylim 
argument. I fear that this (nice!) particular plot function ignores many of 
these additional arguments. How can I nevertheless change this setting?
3. For it is not explicitly mentioned in the manual, can I really use 
regsubsets for logistic regression?

Thanks a lot for your help, I hope these questions aren?t too general.

Best wishes

Markus Brugger

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On Wed, 8 Aug 2007, Markus Brugger wrote:
>
> Dear R-help,
>
> I have used the regsubsets function from the leaps package to do subset
> selection of a logistic regression model with 6 independent variables and
> all possible ^2 interactions. As I want to get information about the
> statistics behind the selection output, I?ve intensively searched the
> mailing list to find answers to following questions:
>
> 1. What should I do to get the statistics behind the selection (e.g. BIC)?
> summary.regsubsets(object) just returns "*" meaning
"in" or " " meaning out.
> For the plot function generates BICs, it is obviously that these values
must
> be computed and available somewhere, but where? Is it possible to directly
> get AIC values instead of BIC?
These statistics are in the object returned by summary(). Using the first
example from the help page
> names(summary(a))
[1] "which"  "rsq"    "rss"    "adjr2" 
"cp"     "bic"    "outmat" "obj"  
> summary(a)$bic
[1] -19.60287 -28.61139 -35.65643 -37.23388 -34.55301

> 2. As to the plot function, I?ve encountered a problem with setting the
ylim
> argument. I fear that this (nice!) particular plot function ignores many of
> these additional arguments. How can I nevertheless change this setting?
You can't (without modifying the plot function). The ... argument is
required for inheritance [ie, required for R CMD check] but it doesn't take
graphical parameters
> 3. For it is not explicitly mentioned in the manual, can I really use
> regsubsets for logistic regression?
>
No.  If your data set is large enough relative to the number of variables, you
can fit a model with all variables and then apply regsubsets() to the weighted
linear model arising from the IWLS algorithm.  This will give an approximate
ranking of models that you can then refit exactly. This is useful if you wanted
to summarize the best few thousand models on 30 variables but not if you want a
single model. On the other hand, regsubsets() isn't useful if you want a
single model anyway.


         -thomas



Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle