Quite so.
The canonical source of succinctly expressed scepticism is, I believe,
Frank Harrell's book on "Regression modeling strategies".
The StataCorp FAQ by Bill Sribney on stepwise quotes
from an earlier version of the list of problems mentioned
by Harrell.
This 2001 book is worth seeking out. It provides statistical readers
with an easy, but argued and rational, simplification to their life. You
should not, and therefore need not, both with stepwise
procedures ever again.
Nick
[email protected]
Richard Williams
> Incidentally, I am ignoring for now all the concerns that can be
> raised about stepwise regression!
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