In what situations can the use of stepwise regression for model selection be problematic?

  • When the true model is non-linear.
  • When there are too few predictor variables.
  • When there are too many predictor variables.
  • When there is no multicollinearity.
Stepwise regression assumes a linear relationship between the predictors and the response. It might be problematic when the true model is non-linear, leading to incorrect inferences.
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