# Regsubsets with leaps fails

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.

• I'm getting the same error you are, and it's driving me crazy. I think it has something to do with the number of vars with respecto to the number of observations but I'm not sure. Any suggestions would be greatly appreciated. – Ainhoa Nov 26 '12 at 17:19