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, please?
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?
Allin.