use of stepwise cox regression in comparing relative "importance" of variables

[duo wan <duo_wan@yahoo.com>]

Dear All,

 

I am reading some clinical literatures for our research paper. They adopted stepwise algorithm when building a final prognostic models. However, they used this algorithm for:

 

1)       Comparing the relative importance of two highly correlated variables (different indicators for the same thing). Say the one kept in the model is more important.

2)       Claiming that the variables with higher chi-squares are more important.

 

 

I really do not think two highly correlated variables can be compared with stepwise regression. First, usually one of two highly correlated variables has to go with stepwise regression. It is hard to tell the magnitude of the differences between variables from stepwise.  Also the left one can be more important that some other variables kept in model in terms of higher proportions of explained variations.

 

Is there any good statistical paper about misusing of stepwise in ranking the order of significant of variables or relative importance of variables.

 

Thanks,

 

Vincent

 

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