use http://www.philender.com/courses/data/gpa, clear

sw regress gpa greq grev mat ar, pe(.1) pr(.15) forward

                      begin with empty model
p = 0.0003 <  0.1000  adding   ar
p = 0.0120 <  0.1000  adding   grev
p = 0.0756 <  0.1000  adding   mat
p = 0.0385 <  0.1000  adding   greq
p = 0.2135 >= 0.1500  removing ar

  Source |       SS       df       MS                  Number of obs =      30
---------+------------------------------               F(  3,    26) =   13.96
   Model |  6.43865846     3  2.14621949               Prob > F      =  0.0000
Residual |  3.99600819    26  .153692623               R-squared     =  0.6170
---------+------------------------------               Adj R-squared =  0.5729
   Total |  10.4346666    29  .359816091               Root MSE      =  .39204

------------------------------------------------------------------------------
     gpa |      Coef.   Std. Err.       t     P>|t|       [95% Conf. Interval]
---------+--------------------------------------------------------------------
    greq |   .0049255   .0017006      2.896   0.008         .00143    .0084211
    grev |   .0016122   .0010605      1.520   0.141      -.0005676     .003792
     mat |   .0261191   .0087314      2.991   0.006       .0081716    .0440667
   _cons |   -2.14877   .9054056     -2.373   0.025      -4.009858   -.2876821
------------------------------------------------------------------------------

sw regress gpa greq grev mat ar, pe(.05) pr(.1) forward

                      begin with empty model
p = 0.0003 <  0.0500  adding   ar
p = 0.0120 <  0.0500  adding   grev

  Source |       SS       df       MS                  Number of obs =      30
---------+------------------------------               F(  2,    27) =   14.36
   Model |   5.3789825     2  2.68949125               Prob > F      =  0.0001
Residual |  5.05568415    27  .187247561               R-squared     =  0.5155
---------+------------------------------               Adj R-squared =  0.4796
   Total |  10.4346666    29  .359816091               Root MSE      =  .43272

------------------------------------------------------------------------------
     gpa |      Coef.   Std. Err.       t     P>|t|       [95% Conf. Interval]
---------+--------------------------------------------------------------------
      ar |    .329625    .104835      3.144   0.004       .1145215    .5447286
    grev |   .0028514   .0010586      2.694   0.012       .0006794    .0050234
   _cons |    .497178   .5765156      0.862   0.396      -.6857342     1.68009
------------------------------------------------------------------------------

sw regress gpa greq grev mat ar, pe(.05) pr(.1) 
/* note: there is no forward option */

                      begin with full model
p = 0.2135 >= 0.1000  removing ar
p = 0.1405 >= 0.1000  removing grev

      Source |       SS       df       MS              Number of obs =      30
-------------+------------------------------           F(  2,    27) =   18.87
       Model |  6.08344211     2  3.04172105           Prob > F      =  0.0000
    Residual |  4.35122454    27  .161156464           R-squared     =  0.5830
-------------+------------------------------           Adj R-squared =  0.5521
       Total |  10.4346666    29  .359816091           Root MSE      =  .40144

------------------------------------------------------------------------------
         gpa |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        greq |   .0059763    .001591     3.76   0.001     .0027118    .0092408
         mat |   .0308074   .0083646     3.68   0.001     .0136446    .0479702
       _cons |  -2.129377   .9270377    -2.30   0.030    -4.031501   -.2272527
------------------------------------------------------------------------------