Variable Selection using Cross-Validation (and Other Techniques)

A natural technique to select variables in the context of generalized linear models is to use a stepŵise procedure. It is natural, but contreversial, as discussed by Frank Harrell in a great post, clearly worth reading. Frank mentioned about 10 points against a stepwise procedure. It yields R-squared values that are badly biased to be high. The F and chi-squared tests quoted next to each variable on the printout do not have the claimed distribution. The method yields confidence intervals fo..