tim's journal

Stepwise Logistic Regression

After talking with Pat yesterday it seemed that I was missing the boat on a fundamental technique: stepwise selection. I found a good SAS tutorial at ncsu. In stepwise selection, an attempt is made to remove insignificant variables. The way I had been doing (though more manually) is also mentioned in the text and implemented by using SELECTION=BACKWARD instead of SELECTION=STEPWISE. The idea here is to eject variables below a certain significance level.

To run stepwise logistic regression, we specify entry significance level (SLENTRY=0.#) and staying significance level (SLSTAY=0.#). LACKFIT tests Lack of Fit.

title 'Stepwise logistic regression on class 1 versus class 7';
proc logistic data = A outest=params;
model var16=var1-var15 / selection=stepwise slentry=0.3 slstay=0.35 lackfit;
run;