Re: [Gretl-users] Variable selection

Hello Sven, Yes I mean all possible combinations of regressors. ​ 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 4:50 PM Sven Schreiber <svetosch(a)gmx.net&gt; wrote: > 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 > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users