Hi, I have a dataset with approx 400K Rows and 900 columns with a single dependent variable of 0/1 flag. The independent variables are both categorical and numerical. I have looked as SO/Cross Validated Posts but couldn't get an answer for this.
Since I cannot try all possible combinations of variables or even attempt single model with all 900 columns, I am planning to create independent models of each variable using something like below - out = NULL xnames = colnames(train)[!colnames(train) %in% ignoredcols] for (f in xnames) { glmm = glm(train$conversion_flag ~ train[,f] - 1 , family = binomial) out = rbind.fill(out,as.data.frame(cbind(f,fmsb::NagelkerkeR2(glmm)[2]$R2))) out = rbind.fill(out,as.data.frame(cbind(f,'AIC',summary(glmm)$aic))) } This will give me the individual AIC and pseudo R2 for each of the variables. Post that I plan to select the variables with the best scores for both AIC and pseudoR2. Does this approach make sense? I obviously will use a nfold cross validation in the final model to ensure accuracy and avoid over fitting. However before I reach that I plan to use the above to select which variables to use. Thanks, Manish CONFIDENTIAL NOTE: The information contained in this email is intended only...{{dropped:11}} ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.