Stepwise regression
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Stepwise regression
In statistics, stepwise regression is a method of fitting regression models in which the choice of predictive variables is carried out by an automatic procedure.[1][2][3][4] In each step, a variable is considered for addition to or subtraction from the set of explanatory variables based on some prespecified criterion. Usually, this takes the form of a sequence of F-tests or t-tests, but other techniques are possible, such as adjusted R2, Akaike information criterion, Bayesian information criterion, Mallows's Cp, PRESS, or false discovery rate.
The frequent practice of fitting the final selected model followed by reporting estimates and confidence intervals without adjusting them to take the model building process into account has led to calls to stop using stepwise model building altogether[5][6] or to at least make sure model uncertainty is correctly reflected.[7][8]
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