I wrote > > 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. >
Van Bain replied <<< 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. >>> Well, it could be; but maybe not in this case, as I had N in the 500 range and 5 IVs. The problem is that stepwise gives results which are very hard to interpret, for reasons that earlier posts in this thread have elucidated nicely. Peter Peter L. Flom, PhD Assistant Director, Statistics and Data Analysis Core Center for Drug Use and HIV Research National Development and Research Institutes 71 W. 23rd St www.peterflom.com New York, NY 10010 (212) 845-4485 (voice) (917) 438-0894 (fax) . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
