I have forty candidate predictors. They are no colinear. I want to know which ones are related to the DV. Prediction isn't important to me. I want to do this in an exploratory and data-driven way.
What's my best option? I've looked at: multiple regression, stepwise regression (AIC,BIC), best subsets regression, and Adaptive LASSO.
Is one of those better than the others? And if not, what is a better option?