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I am using the logistic regression framework to formulate a classification model. I have a dataset with 42 'true' (response variable) values and 4400 'false' ones. By using the ‘rule-of-10’ and other considerations, I have selected four independent variables. My aim is solely to understand the relative importance of each of these variables (if at all) towards determining the level of the dependent variable. In this case, I understand that even with an unbalanced dataset (42 versus 4400), logistic regression could still produce good coefficient estimates. Specifically, wikipedia says: ‘Logistic regression is unique in that it may be estimated on unbalanced data, rather than randomly sampled data, and still yield correct coefficient estimates of the effects of each independent variable on the outcome.’ This also seems to be intuitively correct if one thinks about how the sigmoid function curve is fitted.

Can you please help me with a reference (preferably, a textbook) for this statement? I checked some versions of the textbook by Hosmer and Lemeshow, but could not find anything.

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See Does an unbalanced sample matter when doing logistic regression? where most is answered. Unbalance in itself is not a problem, but only 42 'true' with 4 predictors is on borderline. The wikipedia quote seems somewhat imprecise, but not wrong. This posts give more information.

The 'rule-of-10' you refers can be criticized, see Minimum number of observations for logistic regression? and also Sample size for logistic regression?, especially F Harrell's answers, where references are given.

But, if you want to try anyhow (who wouldn't), note that the usual asymptotic distributions used for logistic regression (leading to Wald tests ...) are usually bad for logistic regression, so the standard errors cannot be trusted. Search this site for Hauck-Donner phenomenon: Logistic regression in R resulted in perfect separation (Hauck-Donner phenomenon). Now what?. A possible remedy is to calculate confidence intervals for parameters via likelihood profiling, see Binomial GLM - non-significant difference between 100% opposite groups of observations for an example.

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  • $\begingroup$ Sorry for the delay in replying, I was on a break for the last 10 days. And thanks for the helpful answer! I have one more question: The King and Zeng (2001) paper says that 'β1(hat)' is a statistically consistent estimate of β1...from my skimming, it was difficult to make out anything about the associated standard error (hence, z-value etc). Can you please add a line or two to your answer on this aspect? $\endgroup$ – user7831861 Jan 2 at 13:19
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    $\begingroup$ Yes, I understand that '42' is a really low number, hence my wald-test p-values are not that great for some variables (0.15-0.2) and I state that we cannot draw definite conclusions without more data. Should I state something more? $\endgroup$ – user7831861 Jan 2 at 13:19
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(This started as a comment to @kjetil nice answer +1.)

Just to be clear, before dismissing the "rule-of-10", please check the original publication; Peduzzi et al. (1996) A simulation study of the number of events per variable in logistic regression analysis. It is a very nicely structured paper and lays out a reasonable way of testing the validity of a logistic regression analysis. I have use it in the past to inform how to conduct my own simulation study for my particular problem settings. That is an invaluable insight and should heavily on your choice of minimum sample size. Following that, going through van Smeden et al. (2016) No rationale for 1 variable per 10 events criterion for binary logistic regression analysis is super-helpful to see what this is criticised. If anything, using a biased corrected approached (like Firth's regression (Firth, 1993), jack-knifing (Bull et al. 1996), etc.) is very likely preferable to safe guard against separation and/or other finite sample bias issues.

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