so mgcv package is the one i need! indeed, i want integrated smoothness selection and smooth interactions rather than stepwise selection. i have a lot of predictor, and i use gam to select those who are "efficient" and exclude others. (using p-value)
It is interesting that you use P-values but do not care that the strategy you use (variable selection as opposed to pre-specifying models or just using shrinkage) does not preserve type I error or confidence interval coverage probabilities in subsequent analyses with mgcv.
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Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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