Lumifer comments on Why the tails come apart - LessWrong

114 Post author: Thrasymachus 01 August 2014 10:41PM

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Comment author: Lumifer 07 August 2014 05:38:45PM 1 point [-]

I concur. Stepwise regression is a very crude technique.

I find it useful as an initial filter if I have to dig through a LOT of potential predictors, but you can't rely on it to produce a decent model.