subset selection for glm

I posted a message earlier about subset selection.

I have a data set with 50 variables x1, x2, .... x50

x50 is a binary response variable that I would like to predict.  Is there a
library I could use to do an exhaustive search for a subset
(forward/backward subset selection) of variables to include in the
regression model.  Any help would be greatly appreciated.

?step  (as surely help.search() would have shown you), and btw, that is 
not an `exhaustive search' procedure.

Frank Harrell has posted repeatedly on the dangers of unthinking use of 
such a procedure -- if he does not chime in now, please do look at his 
posts (and if you have access to it, his book).  You have not told us 
*why* you want to do variable selection (which is a more accurate name for 
what you are calling `subset' selection), and for most purposes it is not 
a good idea.


Let me second Roger Bivand's comment earlier today:

I would, though, appeal to posters to give those who try to reply to
questions at least a little help, by including an informative signature
block.

I know that several helpers are quite unlikely to offer help to someone 
sending an unsigned letter, for that is what not using a real user name 
and affiliation amounts to.  So, PLEASE give your credentials -- this 
forum is a free (to the recipients) technical support forum, and that is a 
privilege that should be respected.

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595