Stepwise Regression and Stepwise Discriminant Analysis Need Not Apply here: A Guidelines Editorial

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Abstract
Stepwise methods are frequently employed in educational and psychological research, both to select useful subsets of variables and to evaluate the order of importance of variables. Three problems with stepwise applications are explored in some detail. First, computer packages use incorrect degrees of freedom in their stepwise computations, resulting in artifactually greater likelihood of obtaining spurious statistical significance. Second, stepwise methods do not correctly identify the best variable set of a given size, as illustrated by a concrete heuristic example. Third, stepwise methods tend to capitalize on sampling error and thus tend to yield results that are not replicable.