Re: [Gretl-users] Variable selection
On Fri, 15 Jun 2018, Periklis Gogas wrote:
Hello all,
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).
Adding more options would make for a very nice function package, IMO.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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