Purpose

    These procedures runs forward stepwise regression and backward stepwise regression.

    Stepwise regression removes and adds variables to the regression model for the purpose of identifying a useful subset of the predictors. StatPlus provides two commonly used procedures: forward selection (adds variables), and backward elimination (removes variables).

    Forward, or Step-Up, Selection

    This method is often used to provide an initial screening of the candidate variables when a large group of variables exists. For example, suppose you have fifty to one hundred variables to choose from, way outside the realm of the all-possible regressions procedure. A reasonable approach would be to use this forward selection procedure to obtain the best ten to fifteen variables and then apply the all-possible algorithm to the variables in this subset. This procedure is also a good choice when multicollinearity is a problem.
    The forward selection method is simple to define. You begin with no candidate variables in the model. Select the variable that has the highest R-Squared. At each step, select the candidate variable that increases R-Squared the most. Stop adding variables when none of the remaining variables are significant. Note that once a variable enters the model, it cannot be deleted.

    Backward, or Step-Down, Selection

    This method is less popular because it begins with a model in which all candidate variables have been included. However, because it works its way down instead of up, you are always retaining a large value of R-Squared. The problem is that the models selected by this procedure may include variables that are not really necessary. The user sets the significance level at which variables can enter the model.
The backward selection model starts with all candidate variables in the model. At each step, the variable that is the least significant is removed. This process continues until no nonsignificant variables remain.

Preparations   

    Run Statistics→Regression→Forward stepwise regression... or   Statistics→Regression→Backward stepwise regression...