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I have a set of some 50,000 data points. There is one dependent variable which is categorical in nature and there are some 100 possible explanatory variables. Out of these 100, I have to select some 10 variables which are most significant in terms of determination/explanation of dependent variable. Can you please suggest which is the best method to do that?

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"Some"? Do you want to end up with a fixed number of variables, or do you want to let an algorithm decide on that number based on some statistical criteria? – chl♦ Mar 14 '12 at 21:52
@asjohnson How would PCA let us decide which subset of the 100 variables best explains the observed categorical outcome? – chl♦ Mar 14 '12 at 21:54
well, I am not looking for a regression equation. My aim is identify top 10 variables which can explain/predict dependent categorical variable in most effective way. I just have to investigate relationship of dependent variable with these variables. – Raghvendra Mar 15 '12 at 3:05
One method I can think of Multinomial Logostic Regression. But unfortunately my software package doesn't have that. – Raghvendra Mar 15 '12 at 3:06

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