Andrew Gelman on variable selection: "Variable selection (that is, setting some coefficients to be exactly zero) can be useful for various reasons, including:
– It’s a simple form of regularization.
– It can reduce costs in future data collection.
Variable selection can be fine as a means to an end. Problems can arise if it’s taken too seriously, for example as an attempt to discover a purported parsimonious true model."
Hear, hear. Saving this for future use.