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Step away from stepwise

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Figure

Table 1 Average number of explanatory variables per equation, σx = 5
Table 3 Frequencies for the number of true variables selected, σx = 5 and σy = 20
Table 4 In-sample and out-of-sample prediction errors, σx = 5 and σy= 20
Fig. 1 No-drift model with 100 nuisance variables and no real explanatory variables

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