Limitations in Model-Selection Methods

The use of model-selection methods can be time-consuming in some cases because there is no built-in limit on the number of independent variables, and the calculations for a large number of independent variables can be lengthy. The recommended limit on the number of independent variables for the MINR method is , where is the value of the INCLUDE= option.

For the RSQUARE, ADJRSQ, or CP method, with a large value of the BEST= option, adding one more variable to the list from which regressors are selected might significantly increase the CPU time. Also, the time required for the analysis is highly dependent on the data and on the values of the BEST=, START=, and STOP= options.