The SELECTION statement performs variable selection. All options except the SCREEN option are fully documented in the section SELECTION Statement in Chapter 4: Shared Statistical Concepts. The SCREEN option is described in the following section. The remainder of this section describes specific information about how PROC HPREG implements the METHOD= option and the DETAILS= option.
The HPREG procedure supports the following values of the METHOD= option in the SELECTION statement:
specifies no model selection.
specifies the forward selection method, which starts with no effects in the model and adds effects.
specifies the backward elimination method, which starts with all effects in the model and deletes effects.
specifies the stepwise regression method, which is similar to the forward selection method except that effects already in the model do not necessarily stay there.
specifies the forward-swap selection method, which is an extension of the forward selection method. Before any addition step, PROC HPREG makes all pairwise swaps of effects in and out of the current model that improve the selection criterion. When the selection criterion is R square, this method is the same as the MAXR method in the REG procedure in SAS/STAT software.
specifies the least angle regression method. Like forward selection, this method starts with no effects in the model and adds effects. The parameter estimates at any step are "shrunk" when compared to the corresponding least squares estimates. If the model contains classification variables, then these classification variables are split. For more information, see the SPLIT option in the CLASS statement.
specifies the lasso method, which adds and deletes parameters based on a version of ordinary least squares in which the sum of the absolute regression coefficients is constrained. If the model contains classification variables, then these classification variables are split. For more information, see the SPLIT option in the CLASS statement.
The DETAILS=ALL and DETAILS=STEPS options produce the "ANOVA," "Fit Statistics," and "Parameter Estimates" tables, which provide information about the model that is selected at each step of the selection process.
In addition to other options, which are fully documented in the section SELECTION Statement in Chapter 4: Shared Statistical Concepts, PROC HPREG also supports a SCREEN option, which has the following syntax:
You can specify following global-screen-options:
You can specify the following screen-options after an = sign:
If you do not specify any screen-options, SCREEN=PERCENT(10) by default.
For a classification effect that has multiple degrees of freedom, pairwise correlations with the response at the first stage and the first stage residuals at the second stage are computed separately for each dummy variable that corresponds to the levels of the classification variables in the effect. The largest magnitude of these correlations is used as a proxy for the correlation statistic for that effect.