[Gretl-devel] remove unsignificant variables

[Allin Cottrell]

On Fri, 11 Jan 2008, Sven Schreiber wrote:

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

The procedure that been added recently fits well, I think, as an 
option to the "omit" command.

The procedure to which Andreas alludes (if I understand right) 
might fit as an option to the "add" command.  You could perhaps do 
something like this:

list xlist = x1 x2 x3 x4 x5 x6
ols y const
add xlist --auto # or add xlist --auto=arg

This would 

1. Search xlist for the variable that is the "best" single 
addition to the model on some criterion (lowest p-value, greatest 
impact on AIC, BIC, R^2, whatever?)

2. If that "best" variable meets some threshold condition, add it 
and go to step 1; if not, stop and report the augmented model.

Is that what you have in mind?

Allin.