Re: [Gretl-users] Variable selection
Am 15.06.2018 um 14:55 schrieb Riccardo (Jack) Lucchetti:
On Fri, 15 Jun 2018, Periklis Gogas wrote:
> Are there any variable selection methodologies included in Gretl?
> Something like STEPLS, Combinatorial, etc?
The two possibilities that come to my mind atm are the omit command
with the --auto option and M. Błażejovski & J. Kwiatkowski's excellent
BMA function package (https://www.jstatsoft.org/article/view/v068i05).
Thanks for pointing it out, it wasn't obvious to me before that it can
be viewed as a variable selection tool.
Adding more options would make for a very nice function package, IMO.
There is also the 'addlist' function package by Allin which does the
specific-to-general direction. (omit --auto being general-to-specific)
With "combinatorial" do you mean trying out all possible specifications
by brute force?
cheers,
sven
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