Stepwise Linear Regression
One step in the modeling process is determining what variables to include in the regression model. Stepwise regression uses automatic variable selection procedures to suggest what model to use. The user supplies formulas representing the simplest (Lower Formula) and most complex (Upper Formula) models to consider, and the stepwise regression procedure alternates between adding terms to and deleting terms from the model until no further changes are appropriate.
To perform stepwise linear regression
Choose Statistics Regression
Stepwise. The dialog shown below appears.
Model Page
In the Stepwise Linear Regression dialog, the Model page contains the following options:
Data
Data Set
Select a data set from the dropdown list or type the name of a data set. You can also type into the Data Set edit field any expression that evaluates to a data set.
Weights
Enter the column that specifies weights to be applied to all observations used in the analysis. To weight all rows equally, leave this blank.
Enter an S-PLUS expression that identifies the rows to use in the analysis. To use all the rows in the data set, leave this field blank.
Select this box to omit from the analysis any rows in the data set that contain missing values for any of the variables in the model.
Models Scope
Upper Formula
Enter the upper formula (with the most terms) that defines an upper limit for all the models to be tried in the model search.
Lower Formula
Enter the lower formula (with the fewest terms) that defines a lower limit for all the models to be tried in the model search. The default is the NULL model.
Create Formula
Click the Create Formula button to open a formula builder dialog used to construct a formula specifying the desired model. See the online Help section Building Formulas for more information.
Stepping Options
Stepping Direction
Select the mode of stepwise search: both, backward, or forward.
Print a Trace of All Fits
Select to print information for all the fits in the stepwise search.
Save Model Object
In the Save As field, enter the name for the object in which to save the results of the analysis. If an object with this name already exists, its contents are overwritten. The model object can be used in later functions such as plotting.
Results page
On the Results page, choose the type of printed results. To select or clear an option, click the check box.
In the Stepwise Linear Regression dialog, the Results page contains the following options:
Printed Results
Short Output for Stepwise Regression
Select this to display a short summary of the model fit. This includes the model formula, the regression coefficients, the residual standard error and the degrees of freedom.
Long Output for Stepwise Regression
Select this to display a more detailed summary of the model fit.
ANOVA Table
Display an analysis of variance table. The sums-of-squares in the table are for the terms added sequentially (Type I sums-of-squares).
Correlation Matrix of Estimates
Display the correlation matrix of the regression coefficients. This option is available only if Long Output is selected.
Related S-Plus language functions
lm, step, add1, drop1, menuStep