R Statistics Cookbook

How it works...

Forward methods (both AIC and p-value based) start with a model with only an intercept. They then iterate over all regressors and choose the one with the lowest AIC/p-value. They keep doing this until all variables are checked. Backward methods (both AIC and p-value based) start with the full model (containing all the variables) and they iterate over each possible variable by removing it. They pick the variable with the highest AIC/p-value. This is done until all variables are checked. Stepwise methods combine both approaches. They try all of the variables and add the one causing the lowest AIC/lowest p-value. They drop the variable causing the biggest AIC increase/highest p-value. This is done until all variables are checked. ...