[R] subset selection for logistic regression

From: Wittner, Ben <Wittner.Ben_at_mgh.harvard.edu>
Date: Wed 02 Mar 2005 - 22:33:18 EST

R-packages leaps and subselect implement various methods of selecting best or good subsets of predictor variables for linear regression models, but they do not seem to be applicable to logistic regression models.  

Does anyone know of software for finding good subsets of predictor variables for linear regression models?  



p.s., The leaps package references "Subset Selection in Regression" by Alan Miller. On page 2 of the
2nd edition of that text it states the following:  

  "All of the models which will be considered in this monograph will be linear; that is they

   will be linear in the regression coefficients.Though most of the ideas and problems carry

   over to the fitting of nonlinear models and generalized linear models (particularly the fitting

   of logistic relationships), the complexity is greatly increased."

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