Re: [Gretl-users] Variable selection

Am 15.06.2018 um 21:57 schrieb Clive Nicholas: 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