If you have a discrete valued predictor in reg, you can recode it to a binary or series of binary predictors (coded as numeric 0-1) and include them in the model. Reg will not 'lump' them together for the inclusion or exclusion in the various stepwise models; if you want to do that, you will need to manually implement the steps in GLM.
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ANOVA, or Analysis Of Variance, is used to compare the averages or means of two or more populations to better understand how they differ. Watch this tutorial for more.