Regreseeion with linregr

[samuel.enibe at unn.edu.ng]

Dear sir,
I have a dataset X of n columns, and a dependent variable Y. Using the linregr function or  otherwise, I would like to do a multiple linear regression to correlate Y with X such that Y = f(X).. I would like to keep the order of the regression polynomials as low as possible, while maintaining a high value of R2.
 
Is there a function or an existing procedure to elliminate the columns of X that do not have significant effects on Y.?


Thanks.

Samuel Enibe