Dear All,
Probably it is not highly relevant question: Why do stepwise regression
functions in R (step() or stepAIC()) add/delete categorical variables as a
set? For example, I have a four-level factor variable d, so dummies are
d1,d2,d3, as stepwise regression operates d, adding or removing, d1,d2,d3
are simultaneously added/removed. What's the concern here if operating
dummies individually? Model interpretability or anything else? (it seems
shrinkage methods can operate them one by one)
Thanks
mike
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