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

Am 11.01.2008 08:49, andreas.rosenblad(a)ltv.se schrieb: > 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,

> In case you mean specific-to-general instead of general-to- specific, I don't think that's a good idea.