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Multiple regression best subset

• To: mathgroup at smc.vnet.net
• Subject: [mg55565] Multiple regression best subset
• From: Ian Roberts <ian at quantica.com.au>
• Date: Wed, 30 Mar 2005 03:20:58 -0500 (EST)
• Reply-to: ian at quantica.com.au
• Sender: owner-wri-mathgroup at wolfram.com

Has anybody written any efficient code to perform multiple linear 
regression and find the best subset of a data set according to some 
criteria such as Adjusted R Squared or Mallows' statistic?
The reason I say "efficient" is that an exhaustive search with 
Mathematica using Regress[ ] is taking me about 100 times the time it 
takes using the Excel add-in XLMiner.
Regards, Ian