Re: [Gretl-users] Variable selection

​I disagree 95%. If we start taking out all the functions, methodologies, menu items that can be miss-used then we are left only with a spreadsheet...​ OLS can be misused, VARs, R2, p-values and so on. Everything can be misused. Even trying to teach students the disadvantages of these methods it is worth the while. PG *Periklis Gogas <http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>* Associate Professor of Economic Analysis and International Economics Department of Economics, Democritus University of Thrace Associate Editor - Journal of Economic Asymmetries <https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/> Euro Area Business Cycle Network - Fellow <http://www.eabcn.org/person/periklis-gogas> The Rimini Centre for Economic Analysis - Fellow <http://www.rcfea.org/component/option,com_frontpage/Itemid,1/> The Society for Economic Measurement - Member <http://sem.society.cmu.edu/home.html> Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow <http://icemr.ru/institute-for-nonlinear-dynamical-inference/> Σύγχρονοι Ελληνικοί Μύθοι <http://www.public.gr/product/syghronoi-ellinikoi-mythoi/prod9040056pp/?so... - το νέο μου βιβλίο On Fri, Jun 15, 2018 at 11:55 PM Sven Schreiber <svetosch(a)gmx.net&gt; wrote: > Am 15.06.2018 um 21:57 schrieb Clive Nicholas: > > I agree with John 150%:stepwise regression models (and their ilk) are a > poor substitute for proper thinking about model specification and simply > shouldn't be used, for _anything_! > > > I agree maybe about 95% :-) > > The statistical points you remind us of are of course valid. Still that > doesn't mean that a formalized model specification search is never to be > used. The question is indeed how to communicate that problem in a software > package (including the existing omit --auto option). Perhaps the result of > such a procedure should be presented wihtout standard errors or something > like that. An easier solution would probably be to include a warning > message. > > BTW, the Lasso and other modern tools haven't been mentioned yet. Indeed > I wouldn't currently recommend to try to reinvent the wheel in hansl. It is > relatively easy to wrap the R packages glmnet and sparsenet in a gretl > function. > > cheers, > sven > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users