My macro is not suitable if your model is too big or if you want to fit your model using procedures not based on FORWARD with AIC. In this case, follow these steps:
Use classification variables instead of their weight of evidence versions and fit a model. This is the CLASS model.
After final predictors are selected, then refit with weight of evidence versions of these CLASS predictors. This is the WOE model.
Compare performance of the two models, ideally, on a validation sample. If WOE performance is similar to CLASS, then good. Use the WOE model.
If WOE model is distinctly inferior, then remove the WOE variable with smallest Wald chi-square statistic value and replace with its classification version and refit. Now compare CLASS model to this new model.
5. Iterate this procedure until the CLASS model and the modified WOE model are comparable.
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