[Gretl-devel] remove unsignificant variables

[Sven Schreiber]

Am 11.01.2008 08:49, andreas.rosenblad at ltv.se schrieb:
> 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?
> 

In case you mean specific-to-general instead of general-to-specific, I 
don't think that's a good idea. Or is it something else that you have in 
mind?

-sven