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A New Strategy of Model Building in PROC LOGISTIC With Automatic Variable Selection, Validation, Shrinkage and Model Averaging

Date: January 2008
Type: White Paper
Rating: (1)

Overview: This paper is a further development of the work wherein the researchers proposed an approach to model building for prediction based on the combination of stepwise logistic regression, information criteria, and the best subset selection. The approach inherited some strong features of the three components mentioned, in particular it helped to avoid the agonizing process of choosing the ""Right"" critical p-value in stepwise regression. At the same time automatic selection procedures are often criticized severely for instability and bias in regression coefficients estimates, their standard errors and confidence intervals. This paper proposes to use some validation, shrinkage and averaging techniques.


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