"Peter Flom" <[EMAIL PROTECTED]> wrote in message news:[EMAIL PROTECTED] > Rich Ulrich wrote (in part)
<snip> > I certainly agree that avoiding stepwise is a good idea; in fact, I > agree with all of what Rich wrote above. > > One sort of crossvalidation I have done (to demonstrate to others that > stepwise is, in fact, a bad idea) is to divide the data set into 2 equal > parts on somethig like id number, then run the same stepwise twice. > THis is, of course, not full cross validation, but it's easy to do in > any software, and easy to explain. > <snip> Doesn't this kind of divergency really show that how step-wise is being used overfitting? Our instructor clearly said in class to use the principle of parsimony, and find a good balance between a small number of variables and good explanatory/predictive power. He also said to be very suspect of the last few iterations, because step-wise (depending on how it's set up...BTW this was all in Minitab) can easily overfit. I haven't had the opportunity to use step-wise professionally, so I can't say how practical it really is, but it seems like any other tool in the toolbox...potentially helpful so long as its constraints and limitations are understood. Van Bain . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
