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> 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
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