Subject: glm and stepAIC selects too many effects
More principled would be to use a lasso-type approach, which combines selection and estimation in one fell swoop! Ravi
From: Ravi Varadhan
Sent: Tuesday, June 6, 2017 10:16 AM
To: r-help at r-project.org
Subject: Subject: [R] glm and stepAIC selects too many effects
Sent: Tuesday, June 6, 2017 10:16 AM
To: r-help at r-project.org
Subject: Subject: [R] glm and stepAIC selects too many effects
If AIC is giving you a model that is too large, then use BIC (log(n) as the penalty for adding a term in the model). This will yield a more parsimonious model. Now, if you ask me which is the better option, I have to refer you to the huge literature on model selection. Best, Ravi