Hello, I am interested in performing a stepwise regression using the robust
regression technique to estimate the models at each stage.
At the moment I am using the lm code and the stepAIC code to select the "best"
OLS model. This final model is then re-estimated using the rlm code.
I am hoping there is a better was to do this, where at each step of the
"stepwise" code the robust regression technique rather than OLS is used. I
realise that an AIC statistic may not be available in rlm, but some other
criteria is fine.
Thanks.
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