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...uot;. In econometrics there is a school (the "LSE methodology") which argues for what amounts to stepwise regressions combined with repeated tests of the properties of the error terms. (It is actually a bit more complex than that.) This has been coded in the program PCGets: (http://www.pcgive.com/pcgets/index.html?content=/pcgets/main.html) If anyone knows how this compares in terms of effectiveness to the methods discussed in Hastie et al., I would really be very interested. Cheers, Murray Murray Z. Frank B.I. Ghert Family Foundation Professor Strategy & Business Economics Fac...