I am trying to fit a problem with
regsubsets with leaps in R. My problem is particularly strongly collinear, which is why I chose to use it in the first place.
The number of variables is about 200 and I have about 2 million independent observations. All the variables have a strong correlation structure with each other.
On running regsubsets with
really.big = TRUE, and
nvmax = 5 and
nbest = 1, I get the following:
Error in leaps.setup - 31 linear dependencies found
and it crashes. All I am looking to do is a simple forward stepwise, say order the variables in the order of correlation and run nested regressions.
Is that too much for the software to handle? I think the problem is well posed in that sense.