In PROC REG, use the SCORR1(TESTS), SCORR1(SEQTESTS), or SCORR2(TESTS) options in the MODEL statement. Note that these options do not work with the model selection methods, the RIDGE or PCOMIT options, or with the GROUPNAMES= option.

These options produce F-tests which are calculated as the sum of squares for the variable in question divided by the mean square error (MSE) for the full model. If TESTS is specified, the MSE for the complete model (the MSE from the ANOVA table) is used as the denominator. If SEQTESTS is specified, the full model and its associated MSE change as variables are added sequentially to the regression model. For example, this statement:

     model y=x1-x5/scorr1(seqtests);

produces the following table of parameter estimates:

                     Parameter       Standard
  Variable    DF      Estimate          Error    t Value    Pr > |t|

  Intercept    1       1.21230        0.18273       6.63      <.0001
  X1           1      -0.15058        0.14669      -1.03      0.3059
  X2           1      -0.05647        0.15469      -0.37      0.7155
  X3           1       0.14848        0.14674       1.01      0.3129
  X4           1       2.95669        0.13822      21.39      <.0001
  X5           1       4.65109        0.15843      29.36      <.0001

                       Squared
                  Semi-partial     Cumulative    -Sequential Type I-
 Variable    DF    Corr Type I       R-Square    F Value      Pr > F

 Intercept    1              .              0        .         .
 X1           1     0.00083606     0.00083606       0.17      0.6844
 X2           1        0.00957        0.01041       1.91      0.1690
 X3           1        0.00123        0.01163       0.24      0.6224
 X4           1        0.33511        0.34675     100.03      <.0001
 X5           1        0.53322        0.87997     861.81      <.0001

The column titled Squared Semi-partial Corr Type I contains the normal output from the SCORR1 option—the partial R² values. The Cumulative R-Square is the R² from the previous model plus the partial R² for the current variable. The final two columns give the sequential F-tests and their associated p-values.

Prior to SAS 8, PROC REG provides the partial R² as variables are added to the model if you specify the SCORR1 option in the MODEL statement. However, partial F-statistics and p-values are not available from the procedure.

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