EViews.com

I have 13 regressors and I have to find the best combination based on the Akaike Information Criterion. Being new to programming in EViews, the closest way I found was by using stepls combinatory, but it yields the model that presents the largest R-square, instead of the lowest AIC. How could I change that? If not possible, any tips on solving my problem? I also saw some programs involving for loops but they don't seem suitable for the case where we have 13 regressors (over 8000 equations). Any help would be extremely appreciated.

Thank you!

13 choose how many?

It doesn't matter, i could use 1 of them or all 13, i just have to found the smallest AIC. That's the problem: i need to run through ALL possible combinations of the 13... the ones that only use 1, the ones that use 2, and so on.

ok, that's not cominbatorial then.

I have a hunch that for a fixed number of regressors, minimising AIC is the same as maximising R^2 (in a linear regression). So you could just run STEPLS for each number of regressors, then compare the AICs from the chosen ones.

That's what i thought too... and i did exactly that. I used stepls combinatorial to run all models and compared the AIC's. Unfortunately, our hunch is not right: maximizing R-squared is not necessarily the same thing as minimizing AIC, so I could not rely on that result.