lmer and p-values (variable selection)
On 03/28/2011 06:15 PM, John Maindonald wrote:
Elimination of a term with a p-value greater than say 0.15 or 0.2 is however likely to make little differences to estimates of other terms in the model. Thus, it may be a reasonable way to proceed. For this purpose, an anti-conservative (smaller than it should be) p-value will usually serve the purpose.
Note that naive likelihood ratio tests of random effects are likely to be conservative (in the simplest case, true p-values are twice the nominal value) because of boundary issues and those of fixed effects are probably anticonservative because of finite-size effects (see PB 2000 for examples of both cases.)
John Maindonald email: john.maindonald at anu.edu.au phone : +61 2 (6125)3473 fax : +61 2(6125)5549 Centre for Mathematics & Its Applications, Room 1194, John Dedman Mathematical Sciences Building (Building 27) Australian National University, Canberra ACT 0200. http://www.maths.anu.edu.au/~johnm
Ben