I am trying to create a financial forecasting model. The model is based on Simple linear regression. My problem is that some of the final variables in my model do not make as much economic sense as some of the other variables but these variables are coming out to be very significant. The other variables that are making economic sense are not explaining much of the R Square. What I want to do is first select the variables that are making economic sense and then add on the other variables in the model so that the previous varaiables do not get weeded out. I need a king of a wrapper around a set of variables so that it protects them from getting out of the model. Is there any statistical technique that could help.
If you are using PROC REG for simple linear regression, the MODEL statement has an option called INCLUDE=n that will keep the first n variables listed in the model always while doing variable selection on the rest.
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