I was taught stepwise feature selection (like forward and backward selection) during college, and at the time, it seemed like a really effective way to pick features. But recently i have been reading more and realized that it’s actually considered pretty outdated and not ideal for real world projects.
Now I’m wondering, are there other methods or practices like this? Things that are still taught or commonly used, but aren’t really effective or recommended in modern data science? I’d really appreciate any insights or examples so I can learn the right way early on.
Thanks