Implementing step-wise linear regression

FWIW, I think it fair to say that modern statistical practice
generally views stepwise regression as a bad idea, especially in the
hands of non-experts lke yourself. The procedures you describe are
"dangerous": they have an uncomfortably high chance of choosing the
wrong variables and leading to widely overoptimistic assessments of
the predictive value of the variables that are chosen. This leads to
scientifically irreproducible results, otherwise known as nonsense (in
polite company; I use another impolite term when I am not being nice).

Shrinkage in its various manifestations is a much better way to
achieve parsimony. See, e.g. the elasticnet, glmnet, pspline, mgcv,
penalized, ... R packages and the MachineLearning task view on CRAN
for various approaches and implementations. Better yet, consult a
local, knowledgeable statistician to help you with this.

Cheers,
Bert

Implementing step-wise linear regression

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