Re: [Gretl-users] Variable selection

On 17.06.2018 09:03, Riccardo (Jack) Lucchetti wrote: > On a personal level, I agree 100%. As Clive remarked, the statistical > issues implied by automatic model selection are indeed thorny. The > only convincing framework in which you can (to some extent) substitute > human judgement with CPU cycles is BMA, but apart from that I myself > would never base any critical statistical procedure on tools like > stepwise regression. I near future (next week probably) I will upload the BACE package. BACE is just simplification of classical BMA (less restricted and ready to use for non-stationary time-series) but gives some Bayesian look for variable/model selection. Marcin