Re: Re: [Gretl-devel] remove unsignificant variables
cottrell(a)wfu.edu @ INTERNET skrev 2008-01-10 19:40:46 :
On Thu, 10 Jan 2008, Ignacio Diaz-Emparanza wrote:
> > ols y 0 xlist
> > omit --auto
> > That's perfect !!
> > But, what does mean "sequenciallly" here? 1. Find the variable
with the highest p-value (other than
the constant).
2. Is that p-value greater than (say) 0.1? - If so, drop the
variable, re-estimate the model and
go to step 1.
- If not, stop and report the results, including an F-test
on all the variables omitted.
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, please?
Best regards,
Andreas