Comments on stepwise regression. Stepwise regression (or discriminant function, or logistic, also, all-possible-subsets) has been beaten to death in discussions on the .stats Usenet groups. A lot of posts are strongly negative, from multiple points of views. This comes as a surprise to users whose introduction has come partly from stat-packages which make the options seem easy and appealing. Included here are three posts that cover a good range of objections, and offer pertinant references.
