On Sun, Oct 30, 2016 at 3:21 PM, Warren Kretzschmar <wkre...@gmail.com> wrote:Hi,Has anyone implemented a model search based on information criteria like AIC or BIC in statsmodels? Something along the lines of stepAIC in R?Cheers,Warrenwe also use brute force methods in some models, mainly in tsa for lag selection e.g. for adfuller, ARMA, VAR, ....One problem is that stepwise regression has the reputation of not working very well, and then it's difficult to get excited about it. (For example, it doesn't stay high on my personal priorities for long enough to go beyond some experiments and helper functions.)There are some computational speedups possible, especially for the linear model, that are currently not available, AFAIK.