Example 1 for PROC QUANTSELECT

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/*          S A S   S A M P L E   L I B R A R Y                 */
/*                                                              */
/*    NAME: qrsex1                                              */
/*   TITLE: Example 1 for PROC QUANTSELECT                      */
/*    DESC: Simulated Data                                      */
/*                                                              */
/* PRODUCT: STAT                                                */
/*  SYSTEM: ALL                                                 */
/*    KEYS: Variable Selection,                                 */
/*   PROCS: QUANTSELECT                                         */
/*                                                              */
/* SUPPORT: Yonggang Yao                                        */
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%let seed=321;
%let p=20;
%let n=3000;

data analysisData;
   array x{&p} x1-x&p;
   do i=1 to &n;
      U  = ranuni(&seed);
      x1 = ranuni(&seed);
      x2 = ranexp(&seed);
      x3 = abs(rannor(&seed));
      y  = x1*(U-0.1) + x2*(U*U-0.25) + x3*(exp(U)-exp(0.9));
      do j=4 to &p;
         x{j} = ranuni(&seed);
      end;
      output;
   end;
run;

proc quantselect data=analysisData;
   model y= x1-x&p / quantile=0.1 0.5 0.9
         selection=lasso(adaptive);
   output out=out p=pred;
run;

proc quantselect data=analysisData;
   model y= x1-x&p / quantile=process(n=all)
         selection=forward;
run;

proc glmselect data=analysisData;
   model y= x1-x3 / selection=forward(select=sbc stop=sbc choose=sbc);
run;