Use PROC STEPDISC to select the best discriminating variables. After a set of variables is selected, PROC CANDISC (or PROC DISCRIM with the CANONICAL option) can tell you how important each variable is via the structure coefficients. The structure coefficients are the correlations between the original variables and the canonical variables (sometimes called loadings). The discriminant function coefficients from PROC DISCRIM are not the best way to determine variable importance because correlation among the variables can make their interpretation in that way misleading.

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