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.