best subset regression

Posted by Kornbrot, Diana on Apr 07, 2014; 2:58pm
URL: http://spssx-discussion.165.s1.nabble.com/best-subset-regression-tp5725346.html

how does spss decide on the number of coefficients when fitting best subsets?

the number of coefficients, n, used in the model appears to be for all predictors with p < .10, no matter what criterion is used.

thus the corrected model fit uses n, even when it has decided that the number of significant predictors is m

n-m  can vary from 0 to as much as 8 if tough criterion is specified. this seems rather odd to me.

please do NOT tell me that best subset, like all forms of 'automatic' variable selection is evil.

I know that this is a widely accepted view. however, in some situations it is better [less biassed] than the 'theoretical' opinion, model,  of the researcher

all help gratefully received

best

diana

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