[Gretl-devel] remove unsignificant variables

[andreas.rosenblad at ltv.se]

cottrell at wfu.edu @ INTERNET skrev 2008-01-10 19:40:46 :

> 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.

So it is a backward selection precedure. It's great that it has been added,
I have missed it. Could you add a forward selection procedure too, please?

Best regards,
Andreas