# Tagged Questions

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### Does full subset selection regression model building suffer from the same handicaps as stepwise regression?

Let's assume $p$ potential predictor variables $X_1,...,X_p$ and a single dependent variable $Y$. Now I evaluate the performance of all possible linear models considering all possible combinations of ...
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### How to build the best regression model using stepwise regression?

I have a data set that contains rental cost (Dependent variable) and I have another data sets that are potential predictors like city, area, No. of rooms etc. (Independent variables). I have ...
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### Variable selection for Linear Regression using Robust or Least Squares Estimation

I have a data set consisting of one continuous response variable and about 70 predictors. Using this data, I want to construct a linear regression model. However, I don't know what predictors are ...
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### What does an infinite AIC mean and what can be done about it?

I have a question about performing stepwise regression. I realize that there are issues with using stepwise methods, but I have about 30 or so predictors and have constructed an ...
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### The dangers of stepwise variable selection in regression

This paper discusses some of the dangers of using stepwise variable selection procedures: http://www.auburn.edu/~tds0009/Articles/Whittingham%20et%20al.%202006.pdf I'm struggling to understand ...
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### Estimation Technique

My panel regression model is as follows: $$Y_{it}= PS_{it}+PF_{it}+EF_{it}+ e_{it}$$ where $i$ : country $t$ : year $Y_{it}$ : GDP per capita $PS_{it}$ : Political stability $PF_{it}$ : ...
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### What is the difference between AIC() and extractAIC() in R?

The R documentation for either does not shed much light. All that I can get from this link is that using either one should be fine. What I do not get is why they are not equal. Fact: The stepwise ...
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### Specifying add and drop thresholds for stepwise regression in R

I am running a stepwise regression using the F test as the criterion. Is there a way to explicitly set the add and drop thresholds (alpha levels) in R? The documentation does not make it clear.
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### R-code question: model selection based on individual significance in regression?

I'm trying to generate an R function that keeps relevant variables based on their absolute t-value (or p, whichever is easier in code). Basically what I want is to run one regression (1), retain all ...
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### Stepwise Regression Models in JMP

In JMP, I am building a regression model by using "Analyze"->"Fit Model" and choosing "Stepwise" for the personality. Once I click "Run" in the "Model Specifications" window, I get the "Fit Stepwise" ...
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### Detecting significant predictors out of 300 independent variables

In a dataset of two non-overlapping populations (patients & healthy, total $n=60$) I would like to find (out of $300$ independent variables) significant predictors for a continuous dependent ...
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### Estimating R-squared and statistical significance from penalized regression model

I am using the R package penalized to obtain shrunken estimates of coefficients for a dataset where I have lots of predictors and little knowledge of which ones are important. After I've picked tuning ...
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### Regression selection using all possible subsets selection and automatic selection techniques

Given the dataset cars.txt, we want to formulate a good regression model for the Midrange Price using the variables Horsepower, Length, Luggage, Uturn, Wheelbase, and Width. Both: using all possible ...
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### Sane stepwise regression?

Suppose I want to build a binary classifier. I have several thousand features and only a few 10s of samples. From domain knowledge, I have a good reason to believe that the class label can be ...