Puff -
There are many strategies, ideas, and literature on this topic. A great
introduction that leads to many of the references that are interesting
is Frank Harrell's book, "Regression Modeling Strategies". I would
highly recommend it.
pufftissue pufftissue wrote:
Hi,
When I use logistic regression, each variable has a p value associated with
it. Do I only include the variables that have a statistically significant p
value (<0.05), or are there situations when I should include variables when
their p values are high? I had heard that if a variable has a high p value
but it's not the terminal variable, keep it; otherwise, take it out. Not
sure if it's right or even why this is the case. What about if my p values
are terrible but this combo of variables yields the highest AUC and
calibration? What prevails in this case?
Thank you!
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