Stepwise Regression in Python

Question

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

Answer 1

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.