I am interesting in finding the relative importance of variables in a GLM model. The dependent variable is binary, while the independent variables are a mix of continuous and categorical. To do this, I would be looking at the coefficients with low p values from the GLM. The coefficients are standardized (and say uncorrelated).
My question is that do I need to assess model fitness before looking at the coefficients? I can, of course, look at predictive accuracy of the model, but the predictive accuracy might not be indicative that the individual coefficients are correct. I also thought of using R^2, but again it only measures overall model fitness. What are the recommended set of steps I need to take before I can trust the coefficients from a GLM are providing a correct estimate of relative variable importance?