Stepwise regression using p-values to drop variables with nonsignificant p-values
I want to perform a stepwise linear Regression using p-values as a selection criterion, e.g.: at each step dropping variables that have the highest i.e. the most insignificant p-values, stopping when all values are significant defined by some threshold alpha . I am totally aware that I should use the AIC (e.g. command step or stepAIC ) or some other criterion instead, but my boss has no grasp of statistics and insist on using p-values. If necessary, I could program my own routine, but I am wondering if there is an already implemented version of this. Show your boss the following : set.seed(100