The QUANTSELECT Procedure

Macro Variables That Contain Selected Models

PROC QUANTSELECT saves the list of selected effects in a macro variable so that you can use other SAS procedures to perform post-selection analyses. This list does not explicitly include the intercept so that you can use it in the MODEL statement of other SAS/STAT regression procedures.

Table 84.12 describes the macro variables that PROC QUANTSELECT creates. When multiple quantile levels or BY processing are used, one macro variable, indexed by the quantile level order and the BY group number, is created for each quantile level and BY group combination.

Table 84.12: Macro Variables Created for Subsequent Processing

Macro Variable

Description

Single Quantile Level and No BY processing

_QRSIND

Selected model

Multiple Quantile Levels and No BY Processing

_QRSNUMTAUS

Number of quantile levels

_QRSINDT1

Selected model for the first quantile level

_QRSINDT2

Selected model for the second quantile level

 

Single Quantile Level and BY Processing

_QRSNUMBYS

Number of BY groups

_QRSIND1

Selected model for BY group 1

_QRSIND2

Selected model for BY group 2

 

Multiple Quantile Levels and BY Processing

_QRSNUMTAUS

Number of quantile levels

_QRSNUMBYS

Number of BY groups

_QRSIND1T1

Selected model for the first quantile level and BY group 1

_QRSIND1T2

Selected model for the second quantile level and BY group 1

 

_QRSIND2T1

Selected model for the first quantile level and BY group 2

_QRSIND2T2

Selected model for the second quantile level and BY group 2

 


The macro variables _QRSIND, _QRSINDT1, _QRSIND1, and _QRSIND1T1 are all synonyms. If you do not specify multiple quantile levels or BY processing, the macro variables _QRSNUMTAUS and _QRSNUMBYS are both set to 1.

PROC QUANTSELECT creates two output data set variables, _BY_ and _QUANTILE_, to aid in associating macro variables with output data set observations when multiple quantile levels or BY processing are used. The values of these two variables are integers that match the i,j components of the macro variable names _QRSINDiTj.