Backward elimination and stepwise regression

(a) Backward elimination:

Assume the model with all possible covariates is

Y   0   1 X 1     r 1 X r 1   .

Backward elimination procedure:

Step 1:

At the beginning, the original model is set to be

Y   0   1 X 1     r 1 X r 1   .
Then, the following r-1 tests are carried out, H :   0, j  1,2, , r  1.
0j j

The lowest partial F-test value Fl corresponding to H 0l :  l  0 or t-test

value t l is compared with the preselected significance values F0 and t 0 .
One of two possible steps (step2a and step 2b) can be taken.

Step 2a:

If Fl  F0 or tl  t0 , then
can be deleted and the new original model is
Xl
Y   0  1 X 1     l 1 X l 1   l 1 X l 1     r 1 X r 1   .
Go back to step 1.

Step 2b:

If Fl  F0 or tl  t0 , the original model is the model we should choose.

Example (continue):

Suppose the preselected significance level is   0.1. Thus, F0  F1,8, 0.9  3.14.

Step 1:

The original model is

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 Y   0  1 X 1   2 X 2   3 X 3   4 X 4   .
F3  0.018 corresponding to H 03 :  3  0 is the smallest partial F value.

Step 2a:

Fl  0.018  F0  3.14 .
Thus, X 3 can be deleted. Go back to step 1.

Step 1:
The new original model is
.
Y   0  1 X 1   2 X 2   4 X 4  
F4  1.86 corresponding to H 04 :  4  0 is the smallest partial F value.

Step 2a:

F4  1.86  F0  3.14 .
Thus, X 4 can be deleted. Go back to step 1.
Step 1:
The new original model is

Y   0  1 X 1   2 X 2   .
F1  144 corresponding to H 01 :  1  0 is the smallest partial F value.

Step 2b:

F1  144  F0  3.14 .
Thus,

Y   0  1 X 1   2 X 2   ,
is the selected model.

(b) Stepwise regression:

Stepwise regression procedure employs some statistical quantity, partial

correlation, to add new covariate. We introduce partial correlation first.

Partial correlation:

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Assume the model is

Y   0   1 X 1     r 1 X r 1   .

The partial correlation of X j and Y , denoted by

,
rYX j ( X 1 X 2  X j 1 X j 1 X r 1 )

can be obtained as follows:

1. Fit the model

Y   0  1 X 1     j 1 X j 1   j 1 X j 1     r 1 X r 1  

obtain the residuals

e1Y , e2Y ,  , enY .

Also, fit the model

X j   0  1 X 1     j 1 X j 1   j 1 X j 1     r 1 X r 1  

obtain the residuals

e1 j , e2 j , , en j .
X X X

2.

 e  
n
Xj Xj
Y
i  e Y ei e
i 1
rYX j  X 1 X 2  X j 1 X j1 X p1  ,
 e   e 
n n
Y 2 Xj Xj 2
Y
i e i e
i 1 i 1

where
n n

e Y
i and Xj
e i
Xj
.
eY  i 1
e  i 1

n n

Stepwise regression procedure:

The original model is Y  0   . There are r-1 covariates, X 1 , X 2 ,  , X r 1 .

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Step 1:
Select the variable most correlated Y, say X , based on the correlation
i 1

coefficient. Fit the model

Y   0   i1 X i1  

and check if X is significant. If not, then

i 1

, Y  0  
is the best model. Otherwise, the new original model is
Y   0   i1 X i1  

and go to step 2.
Step 2:
Examine the partial correlation r , j  i1 . Find the covariate X
YX j  X i1 i 2

with largest value of partial correlation r . Then, fit

YX j  X i1

Y   0   i1 X i1   i2 X i2  

and obtain partial F-value, F corresponding to H :   0 and

i 1 0 i 1

Fi2
corresponding to H :   0 . Go to step 3.
0 i 2

Step 3:
The smallest partial F-value Fl
(one of F and F ) is compared with
i i 1 2

the preselected significance F0 value. There are two possibilities:

(a)
If Fl  F0 , then delete the covariate corresponding to Fl . Go back to step
2. Note that if F  F , then examine the partial correlation
l i2

rYX j  X i , j  i1  i2 .
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(b)
If Fl  F0 , then

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 ,
Y   0   i1 X i1   i2 X i2  

is the new original model. Then, go back to step 2, but now examine the
partial correlation r , ji i .
YX j ( X i1 , X i 2 ) 1 2

The procedure will automatically stop when no variable in the new

original model can be removed and all the next best candidate can not be
retained in the new original model. Then, the new original model is our
selected model.