Stepwise regressionThere has been a little exchange on the SAS-L list about stepwise regression, and whether you should use it.
Jerry Davis (defending stepwise regression, in applied settings) wrote:
Stepwise selection methods are just statistical tools and like any tool, may be used inappropriately. I doubt if Walmart gives a rip about multicollinearity, they just want better predictions. If stepwise does the job, so be it.
Peter Flom wrote:
The analogy to a tool is common.
Stepwise methods ARE like a tool. They are like a hammer whose head flies off at frequent but irregular intervals.