stepAIC {MASS}
Nathan Leon Pace, MD, MStat wrote:
In a generalized linear model with k covariates, there are 2(kth power) - 1 possible models (excluding interactions). Awhile ago a posting to R-help suggested Model Selection and Multimodel Inference, 2nd ed, by Burnham and Anderson as a good source for understanding model selection. They recommend (page 71) computing AIC differences over all candidate models in the set of possible models. After looking at the help page for stepAIC and checking MASS, I am not certain which AICs are estimated by stepAIC. Comments will be appreciated. Nathan
Nathan, If we were analyzing a randomized experiment with 10 treatment groups would we report an unadjusted P-value from a t-test comparing treatments 1,3,4,6 with treatments 2,5,7,8,9,10 where a stepwise process used the response variable to group the treatments? Would we even try to collapse the treatments into groups (i.e., drop some of the 9 dummy variables)? Cheers, Frank
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University