Stepwise Regression White errors

[invest2risk]

Hi!

I'm trying to find a model using stepwise regression and was wondering if it is possible to use white errors within the algorithm.
As I read in a different thread (http://forums.eviews.com/viewtopic.php? ... hite#p4666) white errors are not used for F-statistic, which I suppose is the selection criterion for the algorithm?

Since I am a newbie at EViews I would appreciate if you could give hints as precise as a newbie unfortunately needs them :)

Regards,
Georg

[EViews Gareth]

The built-in stepwise regression routines do not support White errors. You can always write your own in the EViews programming language.

I should point out, of course, that it really depends upon how you want to do the model selection. Any of the methods that are R-Squared based will not be affected by the standard error choice.