ARX models are an effective instrument to evaluate continuous building performance from insufficient monitoring data. However, selecting the right model features is NP-hard. The problem of finding a minimal subset of informative inputs has been studied extensively in various fields but automatic, fast, and reliable procedures for finding optimal models for building performance evaluation are still missing. We propose a novel feature selection algorithm named Greedy Correlation Screening (GCS), which identifies a possible solution at a time by greedily maximizing the correlation between inputs and output and minimizing cross-correlations between inputs. These two objectives are competing, thus leading to best tradeoffs. Among these, the best model is automatically selected by applying filters and quality criteria such as the adjusted coefficient of correlation and non-correlation of residuals. The performance of the proposed heuristic method is compared to two of the best algorithms used in the field, such as GRASP for feature selection and NSGA-II (Non-dominated Sorting Genetic Algorithm). The application on a real case study demonstrates that the proposed method solves the problem of feature selection in building performance estimation efficiently and reliably. Moreover, the model creation is automatic, making it ideal for integration into a Building Management System (BMS) in order to detect faults and perform short-term predictive control. (C) 2017 Elsevier B.V. All rights reserved.