R help - Jan 2009 - regression model selection

Hello,

Newbie here, be gentle ;)

I have a reference book that discusses regression model selection using
several methods - what they call 'Forward Model Selection' i.e. add one
variable at a time and examining R, R^2, Mallow's C-p value, etc.,
'Backward
Model Selection' i.e. starting out with all the variables included and then
remove them one at a time, and examining for fit, and finally a 'Best
Subsets' procedure, to find which combination (forward, backward, or other)
gives the best fit.  Unfortunately everything is directed at use with
Minitab, so while I get the general concept behind what they are discussing,
I'm at somewhat of a loss as to how to do the same sort of thing in R.  I
searched the R-project site and archives for 'regression model
selection'
and got *too much* info... thousands of hits.  Apparently its either a
*very* popular subject or my search-foo needs some work ;)

If someone could perhaps point me in the right direction, I'd greatly
appreciate it.

Thanks,

Monte

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Monte Milanuk wrote:
>> I have a reference book that discusses regression model selection
>> using several methods - what they call 'Forward Model
Selection' i.e.
>> add one variable at a time and examining R, R^2, Mallow's C-p
value,
>> etc., Backward Model Selection' i.e. starting out with all the
>> variables included and then remove them one at a time, and examining
>> for fit, and finally a 'Best Subsets' procedure, to find which
>> combination (forward, backward, or other) gives the best fit.
Which method is appropriate depends on whether your primary interest is
prediction, parameter estimation, or something else.  A thoughtful
discussion of methods and objectives is provided by R. R. Hocking, "The
Analysis and Selection of Variables in Linear Regression," Biometrics,
March 1976, vol 32, no. 1, pp. 1-49.
>> Unfortunately everything is directed at use with
>> Minitab, so while I get the general concept behind what they are
>> discussing, I'm at somewhat of a loss as to how to do the same sort
>> of thing in R. I searched the R-project site and archives for
>> 'regression model selection' and got *too much* info...
thousands of
>> hits.  Apparently its either a *very* popular subject or my
>> search-foo needs some work ;)
>>
>> If someone could perhaps point me in the right direction, I'd
greatly
>> appreciate it.
The R package leaps is useful, particularly its regsubsets function.


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John P. Burkett
Department of Environmental and Natural Resource Economics
and Department of Economics
University of Rhode Island
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