Re: [Gretl-devel] remove unsignificant variables

On Wed, 9 Jan 2008, Ignacio Diaz-Emparanza wrote: > I am trying to write a script that, based on a regression with a > lot of variables and lags, drop unsignificant variables and > leave only the significant regressors... Funny you should ask... I've just finished adding documentation ("help omit") and a GUI handle for the newish --auto option to the omit command. ols y 0 xlist omit --auto sequentially omits the variable with the highest p-value, stopping when the highest (two-sided) p-value is less than 0.10. You can adjust the cutoff p-value in this way: omit --auto=0.05 The GUI model test item now has an option to do sequential omission, with a spinner for the p-value to be used.