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_! Has nobody read any of Frank E Harrell's material on this subject? Anyway, here's his summary:

1. R2 values are biased high.

2. The F and c2 test statistics do not have the claimed distribution.

3. The standard errors of the parameter estimates are too small.

4. Consequently, the confidence intervals around the parameter estimates are too narrow.

5. p-values are too low, due to multiple comparisons, and are difficult to correct.

6. Parameter estimates are biased high in absolute value.

7. Collinearity problems are exacerbated.

C

On 15 June 2018 at 20:23, John C Frain <frainj@gmail.com> wrote:
Some econometric software packages have model search tools such as those proposed here.  During my working days I have seen tools such as these being misused.  I would be sure that no one on this list would use such a tool to search for a model that "fitted" the data well  and then present the final t-stats etc, as if they were the results of the estimation of some model derived from theory.  This is either dishonest or incompetent.  On several occasions when presented with such work I tried to explain the statistical problems to be told that if there were such problems the routines would not have been included in the software.  My recommendation would be not to include such a routine in gretl.  Gretl is an excellent econometric package and we should avoid introducing routines that bring econometrics into disrepute. 


John C Frain
3 Aranleigh Park


On Fri, 15 Jun 2018 at 18:58, Periklis Gogas <perrygogas@gmail.com> wrote:
Yes of course, I would love to use it. 

On Fri, Jun 15, 2018, 20:46 Henrique Andrade <henrique.coelho@gmail.com> wrote:
Em 15 de junho de 2018, Periklis Gogas escreveu:

Yes I mean all possible combinations of regressors.

Dear Periklis, I have an almost finishe function called Automod that tests all the possible combinations. If you want to take a look I can share with you.

Best,
Henrique Andrade
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--
Clive Nicholas

"My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson