3rd edition (I haven't had time to work on this yet!)
Notes by other folks
Notes by John Fox, Professor in the Department of Sociology at McMaster University. John is author of the book Applied Regression Analysis, Linear Models, and Related Methods. Click on the link for Sociology 740 on his homepage to find notes on the following topics (among others):
Regression Diagnostics (1): Unusual and Influential Data.
Regression Diagnostics (2): Nonlinearity and Other Ills.
Regression Diagnostics (3): Collinearity and Model Selection.
Stepwise regression (along with other topics) is also
covered in Mike Babyak's excellent article on overfitting regression
models (Psychosomatic Medicine66:411–421, 2004).
Jerry Dallal's notes on Using the Bootstrap to Simplify a Multiple Regression Equation.
Dallal finds (via simulations) that "Whatever peculiarities in the
dataset that led [a particular set of variables] to be the chosen ones
in the stepwise regressions also make them the favorites in the
bootstrap samples." He concludes, therefore, that using boostrap
methods does not solve the problems with stepwise regression.
Commentary on the hypothesis testing controversy By Alan McLean. In April 2000, Alan McLean posted to one of the stats newsgroups a couple of messages concerning the hypothesis testing controversy.
I find his commentary to be very sensible and refreshing, which cannot
be said for much of what one reads concerning this topic.
Consequences of carrying out multiple tests with no correction to alpha.