[Gretl-devel] remove unsignificant variables

[Allin Cottrell]

On Fri, 11 Jan 2008, Sven Schreiber wrote:

> I'm basically a follower of David Hendry here, who has written a 
> lot about it. For example, you start with a small model which 
> will later be shown to have suffered from omitted-variable bias. 
> So you will have shown that the inference (tests) based on the 
> small model was rubbish. But you used that rubbish to arrive at 
> your preferred model, so you can't even trust the final model's 
> tests that say your earlier model was rubbish. It's a vicious 
> circle and a big ol' mess.

I agree.  On the other hand the "forward" procedure might be 
useful for pedagogical purposes: what difference does it make, to 
the model you end up with, if you go the general-to-specific route 
versus the specific-to-general?  

But if we do add it, it should come with a "health warning".

Allin.