In Exercise 15.4 we had a data set where BlamBeh was related to later distress at time 2. When it is included as a predictor along with Stress1 and BlamPer it is no longer a significant predictor. Why...

In Exercise 15.4 we had a data set where BlamBeh was related to later distress at time 2. When it is included as a predictor along with Stress1 and BlamPer it is no longer a significant predictor. Why would this be likely to happen?

What are some of the reasons why stepwise regression (broadly defined) would not find favor with most statisticians?