Does anyone know stepwise how to do an interrupted time series in Gretl. I'm using Gretl on my Mac any help as far as identifying a difference in trend and level would be appreciated
If you've yet to receive an answer about this, it's because most practioners believe stepwise regression of any sort is a Very Bad Idea. Google Frank Harrell's 11 points against the method to understand why, If you've read this already, then you'll need to give us a darned good explanation as to why you think he's wrong.
If your choice of predictors are guided by theory, what exactly is wrong with entering the model as a whole anyway?