stepls |

Estimation by stepwise least squares.

Syntax

eq_name.stepls(options) y x1 [x2 x3 ...] @ z1 z2 z3

Specify the dependent variable followed by a list of variables to be included in the regression, but not part of the search routine, followed by an “@” symbol and a list of variables to be part of the search routine. If no included variables are required, simply follow the dependent variable with an “@” symbol and the list of search variables.

Options

method = arg | Stepwise regression method: “stepwise” (default), “uni” (uni-directional), “swap” (swapwise), “comb” (combinatorial). |

nvars = int | Set the number of search regressors. Required for swapwise and combinatorial methods, optional for uni-directional and stepwise methods. |

w=arg | Weight series or expression. Note: we recommend that, absent a good reason, you employ the default settings Inverse std. dev. weights (“wtype=istdev”) with EViews default scaling (“wscale=eviews”) for backward compatibility with versions prior to EViews 7. |

wtype=arg (default=“istdev”) | Weight specification type: inverse standard deviation (“istdev”), inverse variance (“ivar”), standard deviation (“stdev”), variance (“var”). |

wscale=arg | Weight scaling: EViews default (“eviews”), average (“avg”), none (“none”). The default setting depends upon the weight type: “eviews” if “wtype=istdev”, “avg” for all others. |

coef=arg | Specify the name of the coefficient vector (if specified by list); the default behavior is to use the “C” coefficient vector. |

prompt | Force the dialog to appear from within a program. |

p | Print estimation results. |

Stepwise and uni-directional method options

back | Set stepwise or uni-directional method to run backward. If omitted, the method runs forward. |

tstat | Use t-statistic values as a stopping criterion. (default uses p-values). |

ftol=number (default = 0.5) | Set forward stopping criterion value. |

btol=number (default = 0.5) | Set backward stopping criterion value. |

fmaxstep=int (default = 1000) | Set the maximum number of steps forward. |

bmaxstep=int (default = 1000) | Set the maximum number of steps backward. |

tmaxstep=int (default = 2000) | Set the maximum total number of steps. |

Swapwise method options

minr2 | Use minimum R-squared increments. (Default uses maximum R-squared increments.) |

Combinatorial method options

force | Suppress the warning message issued when a large number of regressions will be performed. |

Examples

eq1.stepls(method=comb,nvars=3) y c @ x1 x2 x3 x4 x5 x6 x7 x8

performs a combinatorial search routine to search for the three variables from the set of X1, X2, ..., X8, yielding the largest R-squared in a regression of Y on a constant and those three variables.

Cross-references