Re: best subset regression

Posted by Bruce Weaver on Apr 08, 2014; 1:21am
URL: http://spssx-discussion.165.s1.nabble.com/best-subset-regression-tp5725346p5725351.html

I assume this discussion is about the "Automatic Linear Modeling" procedure (ALM)--is that right?  

Jon K Peck wrote

With best subsets, individual significance levels for entry and removal do
not apply - you can see that they are disabled in the dialog box in the
Build Options tab if best subsets is used for model selection.  The
include/remove settings are in the Stepwise selection group.  The
confidence level on the Basics tab is not related to  model selection (as
indicated in the help).

You can color variables by significance using the sliders in the output
model view coefficients pane, but that is just a display option.  As you
can see from that pane, the uncolored coefficients are still there in the
model.


Jon Peck (no "h") aka Kim
Senior Software Engineer, IBM
[hidden email]
phone: [phone]




From:   "Kornbrot, Diana" <[hidden email]>
To:     [hidden email],
Date:   04/07/2014 09:00 AM
Subject:        [SPSSX-L] best subset regression
Sent by:        "SPSSX(r) Discussion" <[hidden email]>



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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