Nathan Leon Pace, MD, MStat wrote:
In a generalized linear model with k covariates, there are 2(kth power) - 1
possible models (excluding interactions).
Awhile ago a posting to R-help suggested Model Selection and Multimodel
Inference, 2nd ed, by Burnham and Anderson as a good source for
understanding model selection. They recommend (page 71) computing AIC
differences over all candidate models in the set of possible models.
After looking at the help page for stepAIC and checking MASS, I am not
certain which AICs are estimated by stepAIC.
Comments will be appreciated.
Nathan
Nathan,
If we were analyzing a randomized experiment with 10 treatment groups
would we report an unadjusted P-value from a t-test comparing treatments
1,3,4,6 with treatments 2,5,7,8,9,10 where a stepwise process used the
response variable to group the treatments? Would we even try to
collapse the treatments into groups (i.e., drop some of the 9 dummy
variables)?
Cheers,
Frank
--
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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