I want to perform a stepwise linear Regression using p-values as a selection criterion, e.g.: at each step dropping variables that have the highest i.e. the most insignificant p-values, stopping when all values are significant defined by some threshold alpha.
I am totally aware that I should use the AIC (e.g. command step or stepAIC) or some other criterion instead, but my boss has no grasp of statistics and insist on using p-values.
If necessary, I could program my own routine, but I am wondering if there is an already implemented version of this.