Five effect-selection methods are available by specifying the SELECTION= option in the MODEL statement. The simplest method (and the default) is SELECTION=NONE, for which PROC LOGISTIC fits the complete model as specified in the MODEL statement. The other four methods are FORWARD for forward selection, BACKWARD for backward elimination, STEPWISE for stepwise selection, and SCORE for best subsets selection. Intercept parameters are forced to stay in the model unless the NOINT option is specified.
When SELECTION=FORWARD, PROC LOGISTIC first estimates parameters for effects forced into the model. These effects are the intercepts and the first n explanatory effects in the MODEL statement, where n is the number specified by the START= or INCLUDE= option in the MODEL statement (n is zero by default). Next, the procedure computes the score chi-square statistic for each effect not in the model and examines the largest of these statistics. If it is significant at the SLENTRY= level, the corresponding effect is added to the model. Once an effect is entered in the model, it is never removed from the model. The process is repeated until none of the remaining effects meet the specified level for entry or until the STOP= value is reached.
When SELECTION=BACKWARD, parameters for the complete model as specified in the MODEL statement are estimated unless the START= option is specified. In that case, only the parameters for the intercepts and the first n explanatory effects in the MODEL statement are estimated, where n is the number specified by the START= option. Results of the Wald test for individual parameters are examined. The least significant effect that does not meet the SLSTAY= level for staying in the model is removed. Once an effect is removed from the model, it remains excluded. The process is repeated until no other effect in the model meets the specified level for removal or until the STOP= value is reached. Backward selection is often less successful than forward or stepwise selection because the full model fit in the first step is the model most likely to result in a complete or quasi-complete separation of response values as described in the section Existence of Maximum Likelihood Estimates.
The SELECTION=STEPWISE option is similar to the SELECTION=FORWARD option except that effects already in the model do not necessarily remain. Effects are entered into and removed from the model in such a way that each forward selection step can be followed by one or more backward elimination steps. The stepwise selection process terminates if no further effect can be added to the model or if the current model is identical to a previously visited model.
For SELECTION=SCORE, PROC LOGISTIC uses the branch-and-bound algorithm of Furnival and Wilson (1974) adapted to find a specified number of models with the highest likelihood score (chi-square) statistic for all possible model sizes, from 1, 2, 3 effect models, and so on, up to the single model containing all of the explanatory effects. The number of models displayed for each model size is controlled by the BEST= option. You can use the START= option to impose a minimum model size, and you can use the STOP= option to impose a maximum model size. For instance, with BEST=3, START=2, and STOP=5, the SCORE selection method displays the best three models (that is, the three models with the highest score chi-squares) containing 2, 3, 4, and 5 effects. The SELECTION=SCORE option is not available for models with CLASS variables.
The options FAST, SEQUENTIAL, and STOPRES can alter the default criteria for entering or removing effects from the model when they are used with the FORWARD, BACKWARD, or STEPWISE selection method.