On Thu, 2011-05-19 at 17:03 -0700, Shi, Tao wrote: > Thank you, Frank and Terry, for all your answers! I'll upgrade my "survival" > package for sure! > > It seems to me that you two are pointing to two different issues: 1) Is > stepwise > model selection a good approach (for any data)? 2) Whether the data I have > has > enough information that even worth to model? For #1, I'm not in a good > position > to judge and need to read up on it. For #2, I'm still a bit confused about > Terry's last comment. If we forget about multivariate model building and > just > look at variable one by one and select the best predictor (let's say it's > highly > significant, e.g. p<0.0001), the resulting univariate model still can be > wrong? > > What if I use this data as a validation set to validate an existing model? > Anything different? > > Many thanks!
Stepwise regression is a bad idea. Whether you let the machine do it or you have a human do it (run all univariates, read the output, pick the best) it is still stepwise selection. It is still very unstable, even with very large sample size. Terry T. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
