This link has been bookmarked by 16 people . It was first bookmarked on 13 Aug 2008, by Jeremy Gollehon.
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20 Mar 17
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- The tests themselves are biased, since they are based on the same data.[15][16] Wilkinson and Dallal (1981)[17] computed percentage points of the multiple correlation coefficient by simulation and showed that a final regression obtained by forward selection, said by the F-procedure to be significant at 0.1%, was in fact only significant at 5%.
- When estimating the degrees of freedom, the number of the candidate independent variables from the best fit selected is smaller than the total number of final model variables, causing the fit to appear better than it is when adjusting the r2 value for the number of degrees of freedom. It is important to consider how many degrees of freedom have been used in the entire model, not just count the number of independent variables in the resulting fit.[18]
- Models that are created may be over-simplifications of the real models of the data.
Stepwise regression procedures are used in data mining, but are controversial. Several points of criticism have been made.
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29 Apr 14
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Usually, this takes the form of a sequence of F-tests or t-tests, but other techniques are possible, such as adjusted R-square, Akaike information criterion, Bayesian information criterion
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fitting the final selected model followed by reporting estimates and confidence intervals without adjusting them to take the model building process into account
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Forward selection
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Backward elimination
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03 Mar 14
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07 Dec 13
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The frequent practice of fitting the final selected model followed by reporting estimates and confidence intervals without adjusting them to take the model building process into account has led to calls to stop using stepwise model building altogether[4][5] or to at least make sure model uncertainty is correctly reflected
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It is important to consider how many degrees of freedom have been used in the entire model, not just count the number of independent variables in the resulting fit
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16 Mar 11
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17 Feb 11
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09 Jan 11
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23 Feb 10
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13 Aug 08
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