GSREG: Stata module to perform Global Search Regression
Pablo Glüzmann, Demián Tupac Panigo · RePEc: Research Papers in Economics · 2013
gsreg is an automatic model selection command for time series, cross-section and panel data regressions. By default (otherwise, users have many options to modify this simplest specification), gsreg performs alternative OLS regressions looking for the best depvar Data Generating Process, iterating over all possible combinations among explanatory variables specified in varlist_ocand. Regression results are stored in a .dta file named as gsreg.dta, and saved in the working directory.