I have carried out a stepwise logistic regression in JMP. Then (using the proper button in the program window), I have chosen to build a nominal logistic regression model using (only) the variables identified by the stepwise procedure. Anyhow, comparing the summary tables of the stepwise regression and the nominal one, I have recognized that the regression coefficients are not the same, and also the p-values are not the same. There is even a variable which changes from a p-value of 0.02 to a p-value of 0.19 (much greater that 0.10, the threshold value I have chosen before stepwise procedure to retain variables in the model!
How is it possible?
I could use the values in the stepwise summary, but it does not contains any data allowing to build the confidence intervals. So, in suborder my question is: how can I calculate the confidence intervals using only the data reported in JMP stepwise regression summary?
Edit: I have recognized just a minute ago that the differences refer to categorical variables which have yield more than one significant comparison. For example, on stepwise regression details I read variable1 is included in the model three times (and passed three times to the nominal regression procedure): A-B versus C-D-E-F-G, C-D versus E-F-G, E-F versus G. Anyhow, such variable1 is reported only one time in regression summary, which cites only the first comparison (A-B versus C-D-E-F-G). It remains a mistery for me why.
PROC GLMSELECT, see thehierarchyoption. But you shouldn't use stepwise in any case, it's a flawed method. – Peter Flom Sep 30 '12 at 21:50