--- Frank E Harrell Jr <[EMAIL PROTECTED]> wrote: > On Sun, 1 Feb 2004 11:09:28 -0800 (PST) > Jinsong Zhao <[EMAIL PROTECTED]> wrote: > > > Dear all, > > > > I am a newcomer to R. I intend to using R to do > > stepwise regression and PLS with a data set (a > 55x20 > > matrix, with one dependent and 19 independent > > variable). Based on the same data set, I have done > the > > same work using SPSS and SAS. However, there is > much > > difference between the results obtained by R and > SPSS > > or SAS. > > > > In the case of stepwise, SPSS gave out a model > with 4 > > independent variable, but with step(), R gave out > a > > model with 10 and much higher R2. Furthermore, > > regsubsets() also indicate the 10 variable is one > of > > the best regression subset. How to explain this > > difference? And in the case of my data set, how > many > > variables that enter the model would be > reasonable? > > > > In the case of PLS, the results of mvr function of > > pls.pcr package is also different with that of > SAS. > > Although the number of optimum latent variables is > > same, the difference between R2 is much large. > Why? > > > > Any comment and suggestion is very appreciated. > Thanks > > in advance! > > > > Best wishes, > > > > Jinsong Zhao > > > > In your case SPSS, SAS, R, S-Plus, Stata, Systat, > Statistica, and every > other package will agree in one sense, because > results from all of them > will be virtually meaningless. Simulate some data > from a known model and > you'll quickly find out why stepwise variable > selection is often a train > wreck. > > --- > Frank E Harrell Jr Professor and Chair > School of Medicine > Department of Biostatistics > Vanderbilt University
For the case of stepwise regression, I have found that the subsets I got using regsubsets() are collinear. However, the variables in SPSS's result are not collinear. I wonder what I should do to get a same or better linear model. Thanks! ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html