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Usage Note 24184: Is there a way to perform all-possible-regressions model selection based on the PRESS statistic?

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Yes, although this model selection method is not directly available in PROC REG, this example program performs all-possible-regressions model selection and reports the PRESS statistic. Note that this can be very resource intensive and should only be used with a relatively small number of potential regressors.



Operating System and Release Information

Product FamilyProductSystemSAS Release
ReportedFixed*
SAS SystemSAS/STATAlln/a
* For software releases that are not yet generally available, the Fixed Release is the software release in which the problem is planned to be fixed.