Function name: fs.reg
Description:

The classical forward regression is implemented. The difference is that we have an extra step of check. Even if a variable is significant, the BIC of the model (with that variable) is calculated. If the decrease from the previous BIC (of the model without this variable) is less thatn a prespecified by the user value (default is 2) the variable wil enter. This way, we guard somehow against over-fitting.

Authors: Marios Dimitriadis