Michael,

risking to be slaughtered on SAS-L, let me give you a scenario where I think stepwise regression could be used. 1. You are trying to predict something. 2. You have a lot of independent variables and the selection of variables presents a problem for you. 3. You have enough data points to split your data into a large enough training data set (where you build the model) and a large enough test or validation data set where you can select the best model. 4. You build a number of competing models, one of which is created with stepwise regression. 5. If on the set aside test data set stepwise regression gives you the best predictions, select this model.

Do I think it's realistic to expect stepwise regression can produce the best model? Yes, it can. Would you prefer a model that is theoretically sound or the one that gives you better predictions? I'd prefer the latter if prediction were my sole goal.

My 2 cents, Vadim Pliner

Michael Ni wrote: > Hi, > > I know that stepwise regression has some shortcomings though it has been > still widely used in different industries. So my question is that when > would be a good time to use stepwise regression? In what scenario? > > Thanks, > Michael