I am doing step-wise regression to address multicollinearity in my data. However, I am thinking of using robust regression in a stepwise regression. In the matlab help,it is clearly mentioned as a tip that "You cannot use robust regression with stepwise regression.Check your data for outliers before using LinearModel.stepwise." Is there a technical reason why one cannot do robust regression in stepwise regression. If no, could you please help me to do the same.
MATLAB: How to do robust regression in a step-wise regression
robust regressionstepwise regression
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