overfitting in explorative studies

Posted by Antoon Smulders on Feb 01, 2011; 9:12am
URL: http://spssx-discussion.165.s1.nabble.com/overfitting-in-explorative-studies-tp3365835.html

Hello list,

 

From Michael A. Babyak I cite: “One very common way of selecting variables for regression models is to look at the univariate relation between each variable and the response, and then to cull only those variables significant for entry into the subsequent regression analysis”. Babyak objects to such a procedure, but his article mainly seems to address hypothesis testing studies.

However I would like to ask the experts on this list, if it is allowed and/or useful  to do this in an explorative context. Your opinions are welcome.

 

Antoon Smulders