Andrew Gelman on variable selection: "Variable selection (that is, setting some coefficients to be exactly zero) can be useful for various reasons, including:
– It’s a simple form of regularization.
– It can reduce costs in future data collection.
Variable selection can be fine as a means to an end. Problems can arise if it’s taken too seriously, for example as an attempt to discover a purported parsimonious true model."

https://statmodeling.stat.columbia.edu/2023/07/18/when-your-regression-model-has-interactions-do-you-need-to-include-all-the-corresponding-main-effects/#comments

Hear, hear. Saving this for future use.

When your regression model has interactions, do you need to include all the corresponding main effects? | Statistical Modeling, Causal Inference, and Social Science

@bbolker Nice! I also like Harrell's point that variable selection is usually used as a form of point estimation (i.e. accept the point estimate of the selected variables, but not the uncertainty around that), but is used in contexts where point estimation would otherwise be unacceptable