​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. 



On Fri, Jun 15, 2018 at 11:55 PM Sven Schreiber <svetosch@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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