I'm using the Generalized Regression platform with Binomial Distribution to fit a Logistic model, and then do model selection (e.g., Best Subset - AIC) to reduce model complexity.
Once the model is reduced, I relaunch it with Only Active Terms, using the same exact platform -- Generalized Regression with Binomial Distribution, so that I should get exactly the same fitted model as the one reduced, with same coefficients and predictions.
Nevertheless, when I compare the two profilers, I obtain slightly different predicted values, and extremely different prediction intervals.
Can you provide an explanation of why this is happening?
Also, which of the two fits should I trust?
Thank you!
