I know of the aproach to fit all variables and choose the more significant
in decreasing order. The approach seems to be consistent and has been
published in JASA. But you can see it and reference in Wasserman, All of
Statistics A concise Course in Statistical Inference book
Basilio
Noori Akhtar-Danesh Escreveu:
> Dear List members,
>
> I would appreciate if I could be directed to a reference (journal article or book) for the following approach of variable selection in multiple regression. This approach seems to be quite common in some area of research but I have not seen any reference for it.
>
>
>
> Approach: When there are many explanatory variables, first each explanatory variable is regressed individually against the outcome (dependent) variable. Then, for each variable, if the p-value is, say <=.20, it is chosen to be included in a multiple regression model (this stage may be called the screening phase). Next, these selected variables are used in a multiple regression approach to come up with a final model (the multiple regression can be, I guess, conducted using a backward, forward, or stepwise approach).
>
> Many thanks in advance,
>
> Noori
>
> ============================
> Noori Akhtar-Danesh, PhD
> Faculty of Health Sciences,
> McMaster University,
> 1200 Main St. West, Room 3N28B
> Hamilton, ON L8N 3Z5,CANADA
> Tel: 905-525-9140 Ext. 22297 & 22725
> Fax: 905-521-8834
> http://www.fhs.mcmaster.ca/ceb/faculty_member_akhtar-danesh.htm
> =============================
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Basilio de Bragança Pereira
*Titular Professor of Bioestatistics and of Applied Statistics
*FM-School of Medicine and COPPE-Posgraduate School of Engineering and
HUCFF-University Hospital Clementino Fraga Filho.
*UFRJ-Federal University of Rio de Janeiro
*Tel: 55 21 2562-7045/7047/2618/2558
www.po.ufrj.br/basilio/
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Caixa Postal 68507
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