Lucas
This problem is very old --- older than keypunches. There are several
methods for selecting variables (forward, backwards, both, all subsets)
using a variety of criteria (p-values, R^2, adjusted R^2, Cp, AIC, BIC,
and more). Be sure you understand the methods, especially the tendency to
overfit. I use the BIC --- the function is stepAIC with parameter k =
log(sample size) from the MASS package.
Joe
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