Automating variable choice

[miorinnovo]

Is there a canned program code that would have eviews take a set of variables and run all possible combinations and permutations of equations with those variables and give you the resulting r-squareds for a specified dependent variable??

[EViews Gareth]

Stepwise will do it (for a given number of regressors), but won't report the R^2, it will just choose the best one.

[miorinnovo]

Awesome, thanks. Is there something similar to chose the lowest RMSE in a pseudo forecasting program rather than the r-squared?

[EViews Gareth]

No.