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