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JMP 10 Modeling and Multivariate Methods by SAS Institute

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Chapter 4 
Fitting Stepwise Regression Models
Using the Fit Model Platform
Stepwise regression is an approach to selecting a subset of effects for a regression model. Use stepwise regression when there is little theory to guide the selection of terms for a model, and the modeler wants to use whatever seems to provide a good fit. The approach is somewhat controversial. The significance levels on the statistics for selected models violate the standard statistical assumptions because the model has been selected rather than tested within a fixed model. On the positive side, the approach has been helpful for 30 years in reducing the number of terms. The book Subset Selection in Regression, by A. J. Miller (1990), brings statistical sense to model ...

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