Model Selection

[GWilson]

Hi,

I was working on a problem where the goal is to find the best subset
of about 10 variables for a logistic regression model. Are there any
built-in EViews tools for model selection? Also, is there a way to
run a few hundred (or maybe more) models in one batch and have them
sorted by, say, the standard error of the regression so that we can
quickly eliminate models?

Thanks for any help with this.

[EViews Gareth]

Stepwise regression is estimated using model selection, but only does least squares, not logit.

You'll have to write a program.