All subsets selection

Abraham et al. (1999) studied forward selection and all subsets selection in detail. They showed, by simulating data from several different experiments, that the factors identified as active could change completely if a different fraction was used and that neither of these methods could reliably find three factors which have large effects. However, they concluded that all subsets selection is better than forward selection. Kelly and Voelkel (2000) showed more generally that the probabilities of type-II errors from stepwise regression are high. 

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