Stepwise Regression in Python

python scipy regression
user2174063 picture user2174063 · Mar 15, 2013 · Viewed 61.3k times · Source

How to perform stepwise regression in python? There are methods for OLS in SCIPY but I am not able to do stepwise. Any help in this regard would be a great help. Thanks.

Edit: I am trying to build a linear regression model. I have 5 independent variables and using forward stepwise regression, I aim to select variables such that my model has the lowest p-value. Following link explains the objective:

https://www.google.co.in/url?sa=t&rct=j&q=&esrc=s&source=web&cd=4&ved=0CEAQFjAD&url=http%3A%2F%2Fbusiness.fullerton.edu%2Fisds%2Fjlawrence%2FStat-On-Line%2FExcel%2520Notes%2FExcel%2520Notes%2520-%2520STEPWISE%2520REGRESSION.doc&ei=YjKsUZzXHoPwrQfGs4GQCg&usg=AFQjCNGDaQ7qRhyBaQCmLeO4OD2RVkUhzw&bvm=bv.47244034,d.bmk

Thanks again.

Answer

Aaron Schumacher picture Aaron Schumacher · Apr 24, 2015

Trevor Smith and I wrote a little forward selection function for linear regression with statsmodels: http://planspace.org/20150423-forward_selection_with_statsmodels/ You could easily modify it to minimize a p-value, or select based on beta p-values with just a little more work.

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