R : Variable Selection - Wald Chi-Square Analysis

In logistic regression, we can select top variables based on their high wald chi-square value. In other words, we can run univariate analysis of each independent variable and then pick important predictors based on their wald chi-square value.

#Read Data File
mydata <- read.csv("http://www.ats.ucla.edu/stat/data/binary.csv")

#Run Logistic Regression
mylogit <- glm(admit ~ ., data = mydata, family = "binomial")

#Create Logistic Regression Function
unilogit = function(df,depvar) {
  depvar1 = deparse(substitute(depvar))
  lapply(names(df)[which(names(df)!= depvar1)], function(x)
  {mylogit = glm(formula(paste(depvar1,"~",x)), data = df, family = "binomial")
  summary(mylogit)$coefficient}
  )
}

#Run Function
univariate = unilogit(mydata, admit)

#Merge all the coefficients
final <- do.call(rbind, univariate)

#Make the table formatable
univList = cbind(data.frame(Variable = row.names(final)),final)
FinalList = subset(univList, Variable!="(Intercept)")
FinalList[,"Wald ChiSquare"] = FinalList[4]^2
FinalList[,"Rank"] = rank(-FinalList[6])
FinalList = FinalList[order(FinalList$Rank),]
Method 2 :
unilogit2 = function(df,depvar, output) {
  dummydt=data.frame(matrix(ncol=0,nrow=0))
  depvar1 = deparse(substitute(depvar))
  out = deparse(substitute(output))
  xxxx = names(df)[which(names(df)!= depvar1)]
  for (i in 1:length(xxxx)) {
  mylogit = glm(formula(paste(depvar1,"~",xxxx[i])), data = df, family = "binomial")
  coeff = data.frame(summary(mylogit)$coefficient)
  if (i==1) {output = rbind(dummydt,coeff)}
  else {output = rbind(output,coeff)}
  assign(out,output, envir = .GlobalEnv)
 }
 }

unilogit2(mydata, admit, outtable)
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Deepanshu founded ListenData with a simple objective - Make analytics easy to understand and follow. He has over 10 years of experience in data science. During his tenure, he has worked with global clients in various domains like Banking, Insurance, Private Equity, Telecom and Human Resource.

2 Responses to "R : Variable Selection - Wald Chi-Square Analysis "
  1. is this for both continuous and categorical variables?

    ReplyDelete
  2. can you please explain which variable is most impacting .?

    ReplyDelete

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