I have not yet used
projpred in practice but I heard of it. As I am writing a preregistration, I wanted to quickly ask here whether it can be used for the following purpose:
y 3 times and we have 9 “candidate” predictor variables. There predictors include categorical, interval scaled and ordinal variables. Additionally, we have 3 confounding variables that we know by theory that they have to be included. We want to answer the question:
Which of these 9 variables (if any) can help to predict
y? It is an exploratory study that should identify predictors of y. This should help researchers build theory and hypotheses in the future as it is an unexplored question.
Is projpred suitable for that? If not, can you recommend me an alternative approach? Alternatively, I would calculate LOOCV for many models. However, it would be much more work as with 9 variables, there are many different combinations that are possible and it might be that only certain combinations of variables work together, e.g. as in masking effects of regression models. However, if I did that, then I also might be able to identify variables that clearly improve out of sample prediction. Does
projpred also consider different combinations of predictors?
If anyone who knows this could help me out here would be great. @paul.buerkner knows for sure so I hope this message might find him!