3 ms·
Stepwise regression is not to be recommended because it's very easy to fool oneself. http://www.sascommunity.org/mwiki/images/e/e2/NYASUG-2007-June-Flom-Stoppi
by wenc 9y ago
Stepwise regression is not to be recommended because it's very easy to fool oneself.
http://www.sascommunity.org/mwiki/images/e/e2/NYASUG-2007-June-Flom-Stopping_stepwise.pdf http://www.sascommunity.org/mwiki/images/e/e2/NYASUG-2007-Ju...
http://www.barryquinn.com/the-statistical-dangerous-of-stepwise-variable-selection/ http://www.barryquinn.com/the-statistical-dangerous-of-stepw...
Shrinkage methods like lasso/elasticnet are less susceptible to these problems.
- graycat 9y agoI agree fully. No doubt Breiman took some steps beyond what Tukey did. My only point was that the question and some answers are old.