All possible subsets model selection using AICc

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All possible subsets model selection using AICc

Matt Williamson
Hello List,
I was wondering if a package or piece of code exists that will allow all
possible subsets regression model selection within program R.  I have
already looked at step(AIC) which does not test differing combinations
of variables within a model as far as I can tell.  In addition I tried
to use the leaps command, but that does not use the criterion I am
looking for.  Any help or advice would be greatly appreciated.
Thanks
Matt Williamson
 
Matthew Williamson
Graduate Research Assistant
Department of Fishery and Wildlife Biology
Colorado State University, Fort Collins, CO 80523
Office: (970)491-5790
Cell:(970)412-0442
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Re: All possible subsets model selection using AICc

Thomas Lumley
On Tue, 3 Jan 2006, Matt Williamson wrote:

> Hello List,
> I was wondering if a package or piece of code exists that will allow all
> possible subsets regression model selection within program R.  I have
> already looked at step(AIC) which does not test differing combinations
> of variables within a model as far as I can tell.  In addition I tried
> to use the leaps command, but that does not use the criterion I am
> looking for.

leaps() or regsubsets() in the leaps package almost certainly do use the
criterion you are looking for (even though you don't tell us what that
criterion is).

These functions produce one or more best models of each size, and for
models of the same size all the commonly-used criteria reduce to ranking
by residual sum of squares, which is what leaps() and regsubsets() do.


  -thomas

Thomas Lumley Assoc. Professor, Biostatistics
[hidden email] University of Washington, Seattle

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