Consider developing a regression model in a context where substantive theory is weak. Search procedures are often used to develop the equation: eg, fitting the equation, dropping insignificant variables, and refitting. As is well known, this can seriously distort the conventional goodness-of-fit statistics. Furthermore, the bootstrap and jackknife may not help in high-dimensional cases.
CITATION STYLE
Freedman, D. A., Navidi, W., & Peters, S. C. (1988). On the Impact of Variable Selection in Fitting Regression Equations (pp. 1–16). https://doi.org/10.1007/978-3-642-61564-1_1
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