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There are 4 variables X 1 , X 2 , X 3 and Y. I need to fit a multiple regression model to predict Y.

There are 4 variables X1, X2, X3 and Y. I need to fit a multiple regression model to predict Y. I have splited data to two parts. One is my personal training data, the other is my personal testing data, Now I want to find a model with lowest testing MSE. How to find this model by forward and backward stepwise selection? You may consider non-linearities and interactions.

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