Does anyone know the stopping rule when I use the step() function in R with the test = 'F' option?
I.e., I'd like to set a significance level at which to stop the procedure. Currently I do something like this:
m.full = lm(score ~ ., data=evals)
m.best.backward = step(m.full, direction = 'backward', test = 'F', trace=T)
The largest p-value in this case is 0.148605. I'd like to proceed until the largest p-value is less than some specified level. Does anyone know how?