172 views

### Why Stepwise regression lead to overfitting? [duplicate]

I run a rolling backward stepwise factor selection within each regression window with a Matrix of regressors X(137x481) and a vector Y(1x137). As you can see, the number of regressors is way higher ...
90k views

### Algorithms for automatic model selection

I would like to implement an algorithm for automatic model selection. I am thinking of doing stepwise regression but anything will do (it has to be based on linear regressions though). My problem ...
8k views

### Why lasso for feature selection?

Suppose I have a high-dimensional dataset and want to perform feature selection. One way is to train a model capable of identifying the most important features in this dataset and use this to throw ...
373 views

### What variables need to be controlled for in regression?

There are numerous discussions on this site concerning how to control for certain variables in regression analysis. How exactly does one “control for other variables”? How do you "control" ...
2k views

### What is the difference between Stepwise regression and Lasso regression in terms of variable selection?

What is the difference between Stepwise regression and Lasso regression in terms of variable selection? Is the difference just the way in which the variables are selected or is there any significant ...
483 views

### Model complexity in cross-validated stepwise regression

Suppose that we perform forward stepwise regression and use cross-validation to choose the best model size. Using the full data set to choose the sequence of models is the WRONG way to do cross-...
296 views

### How to interpret the multiple regression results?

For selection of independent variables in multiple regression analysis, first have calculated correlation coefficient between dependent (y) and independent variables (x1, x2, x3, x4 & x5) and ...
239 views

### Why avoid stepwise regression? [duplicate]

I have been using model averaging and model selection bases on AIC and BIC for a while. I have recently discover the stepwise regression technique and I found a lots of people critize this methods. ...
58 views

### In stepwise regression, how to interpret non-significant variables? [duplicate]

I have more than 15 IVs such as age, gender, education, first language, technology proficiency, health condition, etc, and one of my DVs is health literacy level, which is measured through a standard ...
124 views

### How to do model selection with more regressors than observations?

Consider a standard ordinary linear regression model with $n$ observations and $K>n$ possible regressors (i.e., more regressors than observations). You know the model is linear but you don't know ...