The HPQUANTSELECT Procedure

Criteria Used in Model Selection

Subsections:

The HPQUANTSELECT procedure supports the following fit statistics that you can use as criteria for the CHOOSE= , SELECT= , and STOP= options in the SELECTION statement:

ADJR1

specifies the adjusted R1 statistic.

AIC

specifies Akaike’s information criterion (Akaike, 1969; Koenker, 2005).

AICC

specifies the corrected Akaike’s information criterion (Hurvich and Tsai, 1989).

BIC | SBC

specifies the Schwarz Bayesian information criterion (Schwarz, 1978; Koenker, 2005).

R1

specifies the R1 statistic (Koenker and Machado, 1999). The R1 statistic is not valid for the STOP= or CHOOSE= option.

SL

specifies the significance level that is used to assess an effect’s contribution to the fit when it is added to or removed from a model. SL is not valid for the CHOOSE= option.

VALIDATE

specifies the average check loss over the validation data.