Posted by
Richard Ristow on
Feb 22, 2014; 6:59pm
URL: http://spssx-discussion.165.s1.nabble.com/Stepwise-versus-Enter-method-in-regression-tp5724452p5724599.html
At 03:15 PM 2/11/2014, Rich Ulrich wrote:
>The general point, [about preferring specifying a regression model
>to using stepwise variable selection], is that using intelligence
>and intention is far better than using any method that capitalizes on chance.
I'd have put it a little differently -- I'm not sure whether this is
saying the same thing in different words, or something different.
First off, in our trade, capitalizing on chance is often better than
using intelligence and intention; hence, the emphasis on random
selection of samples, or random assignment of subjects to treatment groups.
I'd have said that the problems with stepwise selection are twofold,
and mutually reinforcing: first, that by exploring an effectively
very large set of models, it loses statistical power; and second,
that by reporting the final model as if it were a chosen model, it
conceals that loss of power and reports significance levels, and
confidence intervals, that are simply too strong. (In that, it's
closely analogous to making many comparisons and reporting only
those that show significance; in fact, it's more or less a special
case of that.)
Concretely: Given a dependent variable, and a large number of
'independents' drawn with a random-number generator, stepwise
selection could well produce a model that looks pretty good, though
it has nothing to do with the data at all.
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