[Gretl-devel] remove unsignificant variables

[Allin Cottrell]

On Thu, 10 Jan 2008, Ignacio Diaz-Emparanza wrote:

> > ols y 0 xlist
> > omit --auto
> 
> That's perfect !!
> 
> But, what does mean "sequenciallly" here? 

1. Find the variable with the highest p-value (other than
   the constant).
2. Is that p-value greater than (say) 0.1?  
   - If so, drop the variable, re-estimate the model and
     go to step 1.
   - If not, stop and report the results, including an 
     F-test on all the variables omitted.

Allin.