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Automating variable choice
Posted: Tue Feb 09, 2016 10:22 am
by 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??
Re: Automating variable choice
Posted: Tue Feb 09, 2016 10:28 am
by 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.
Re: Automating variable choice
Posted: Tue Feb 09, 2016 12:13 pm
by miorinnovo
Awesome, thanks. Is there something similar to chose the lowest RMSE in a pseudo forecasting program rather than the r-squared?
Re: Automating variable choice
Posted: Tue Feb 09, 2016 12:21 pm
by EViews Gareth
No.