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It's well known ANOVA and linear regression are effectively the same analysis.

With that in mind, is there any point at all in using ANOVA to pick features to later fit a linear regression model?

My guess is no: It's like fitting linear regression, choosing the features that work well, and then fittting a linear regression model again only with those features.

I see students and candidates often doing this, and keep wondering why, and if there is any value in this approach at all.

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    $\begingroup$ As your link suggests, try replacing 'ANOVA' by 'linear regression' in your question (Anova is a red herring). $\endgroup$ – user603 Oct 26 '16 at 16:20
  • $\begingroup$ Yes @user603. That's what I was thinking, i.e. there is really no point at all in using linear regression to choose features and then using linear regression again with the hope that one gets a better fit? Is it fair to say that the second fit would most likely be worse (or no better) than the first one? $\endgroup$ – Amelio Vazquez-Reina Oct 26 '16 at 16:53
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There's no point at all in doing that- as you mentioned they are both general linear models. However they can provide different insights, for example while linear regression focuses on the significant predictors, Anova output focuses on whether/where the group differences are (with performing adhoc analysis). linear Regression does not provide this.

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