Re: Re: [Gretl-devel] remove unsignificant variables

On Fri, 11 Jan 2008, Sven Schreiber wrote: > Am 11.01.2008 08:49, andreas.rosenblad(a)ltv.se schrieb: > > So it is a backward selection precedure. It's great that it has been added, > > I have missed it. Could you add a forward selection procedure too,

> > In case you mean specific-to-general instead of > general-to- specific, I don't think that's a good idea. Or is it > something else that you have in mind? The procedure that been added recently fits well, I think, as an option to the "omit" command. The procedure to which Andreas alludes (if I understand right) might fit as an option to the "add" command. You could perhaps do something like this: list xlist = x1 x2 x3 x4 x5 x6 ols y const add xlist --auto # or add xlist --auto=arg This would 1. Search xlist for the variable that is the "best" single addition to the model on some criterion (lowest p-value, greatest impact on AIC, BIC, R^2, whatever?) 2. If that "best" variable meets some threshold condition, add it and go to step 1; if not, stop and report the augmented model. Is that what you have in mind?