# Should we do Feature selection in parallel with feature engineering?

I'm working with LightGBM on a large data set about 3M row and about 8 columns. When i started feature generation after every new feature i was measuring the RMSE of the model and if it was the same or slightly worse i was removing it so is that procedure right ? or i should do all the feature generation and then apply feature selection on them and why ?

• but if added a feature and saw that its importance is higher than a lot of base features however, it increased the RMSE from 0.85 to 0.86 should i remove it or keep it ? – Mohy Mohamed May 12 '20 at 15:15