Re: [R] subset selection for logistic regression

From: Frank E Harrell Jr <f.harrell_at_vanderbilt.edu>
Date: Thu 03 Mar 2005 - 00:12:47 EST

Wittner, Ben wrote:
> 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?
>
> Thanks.
>
> -Ben

Why are these procedures still being used? The performance is known to be bad in almost every sense (see r-help archives).

Frank Harrell

>
> 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."

-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

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Received on Thu Mar 03 00:17:22 2005

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