Greg Snow wrote:
There is not a meaningful alternative way since the way you propose is not meaningful. The Wald tests have some know problems even in the well defined cases. Both types of tests are designed to test a predefined hypothesis, not a conditional hypothesis on the stepwise procedure. It is best to use other approaches than stepwise selection (it has been shown to give biased results) such as the lasso. If you need to use stepwise, then you should bootstrap the entire selection process to get better estimates/standard errors.
For bootstrapping the stepAIC procedure you may have a look at package bootStepAIC.
Best, Dimitris
Frank Harrell's book and package go into more detail on this and provide some tools to help (as well as the other packages that can be used). Hope this helps,
-- Dimitris Rizopoulos Assistant Professor Department of Biostatistics Erasmus University Medical Center Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands Tel: +31/(0)10/7043478 Fax: +31/(0)10/7043014 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
