In parametric models, a common strategy to deal with this problem is to use significance tests for variable selection in regression models. However, one should be aware that in this case significance tests do not work in the same way as in a designed study, where a limited number of hypotheses to be tested are specified in advance. In common forward and/or backward stepwise regression it is not known beforehand how many significance tests will have to be conducted. Therefore, it is hard to control the overall significance level, that controls the probability of falsely declaring at least one of the coefficients as significant.
