Variable Selection Methods in Regression

There has been discussion at recent journal clubs about some related econometric issues such as omitted variable bias, multicollinearity and control variables, parsimony in regressions, and more broadly - how to select variables for an econometric model. This article by Bruce Ratner ("Variable Selection Methods in Regression: Many Statisticians Know Them, But Few Know They Produce Poorly Performing Models") is a useful overview of five wisely used selection methods (Forward Selection, Backward Elimination, Stepwise, R-squared, and All-possible Subsets).