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Multiple regression best subset


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


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