I know that I can perform a stepwise selection on ordinary linear regression model based on the t-value.
but what about Negative Binomial regression model – or GLM in general? Does it theoretically make sense to perform a stepwise selection on variables bases on P-value resulting from "z-scores" when I am trying to improve Negative Binomial regression model? Is such method recommended?
thank you
Best Answer
(1) Most stepwise selection procedures use the p-value from a z or t-score
(2) Most variable selection methods - including stepwise - have been extended to glm including negative binomial models. So yes, you can use stepwise variable selection.
(3) Almost all statisticians express concern about stepwise variable selection, but in many fields (the biomedical field most notably) this is nonetheless the standard. It's worth having a good feel for standard practices in your field.