(This article was originally published at Statistical Modeling, Causal Inference, and Social Science, and syndicated at StatsBlogs.)
Bill Harris writes:
On pp. 250-251 of BDA second edition, you write about multiple comparisons, and you write about stepwise regression on p. 405. How would you look at stepwise regression analyses in light of the multiple comparisons problem? Is there an issue?
In this case I think the right approach is to keep all the coefs but partially pool them toward 0 (after suitable transformation). But then the challenge is coming up with a general way to construct good prior distributions. I’m still thinking about that one! Yet another approach is to put something together purely nonparametrically as with Bart.
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