R help - Sep 2009 - variable selection in logistic

Hi, R users,

What may be the best function in R to do variable selection in logistic
regression? I have the same number of variables as the number of samples,
and I want to select the best variablesfor prediction. Is there any function
doing forward selection followed by backward elimination in stepwise
logistic regression?
Thanks,

Annie

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On Sep 2, 2009, at 9:36 PM, annie Zhang wrote:
> Hi, R users,
>
> What may be the best function in R to do variable selection in  
> logistic
> regression?
PhD theses, and books by famous statisticians have been pursuing the  
answer to that question for decades.
> I have the same number of variables as the number of samples,
> and I want to select the best variablesfor prediction. Is there any  
> function
> doing forward selection followed by backward elimination in stepwise
> logistic regression?
You should probably be reading up on penalized regression methods. The  
stepwise procedures reporting unadjusted "significance" made available
by SAS and SPSS to the unwary neophyte user have very poor statistical  
properties.

--

David Winsemius, MD
Heritage Laboratories
West Hartford, CT

David Winsemius wrote:
> 
> On Sep 2, 2009, at 9:36 PM, annie Zhang wrote:
> 
>> Hi, R users,
>>
>> What may be the best function in R to do variable selection in logistic
>> regression?
> 
> PhD theses, and books by famous statisticians have been pursuing the 
> answer to that question for decades.
> 
>> I have the same number of variables as the number of samples,
>> and I want to select the best variablesfor prediction. Is there any 
>> function
>> doing forward selection followed by backward elimination in stepwise
>> logistic regression?
> 
> You should probably be reading up on penalized regression methods. The 
> stepwise procedures reporting unadjusted "significance" made
available
> by SAS and SPSS to the unwary neophyte user have very poor statistical 
> properties.
> 
> -- 
> 
> David Winsemius, MD
Amen to that.

Annie, resist the temptation.  These methods bite.

Frank

> Heritage Laboratories
> West Hartford, CT
> 
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-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University