Richard Williams wrote (excerpt):
When should you use the "mixed" approach? I guess if you want to be
as mindlessly atheoretical as possible, "mixed" is even better than
straight forward or backwards selection. stepwise approaches in
general don't attract high praise, although i think they sometimes
can have a little merit (e.g. it can be nice to see if a mindless
atheoretical model comes out the same as or close to the model you
derived theoretically).
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The book isn't at-hand at the moment, but as I recall, Frank E. Harrell,
Jr., in his _Regression Modeling Strategies_ (New York: Springer-Verlag,
2001) suggests backward selection if you're going to use stepwise procedures
at all. As it turns out, this is the default in Stata.
Joseph Coveney
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