The HPREG Procedure

For general contrasts between SAS high-performance statistical procedures and other SAS procedures, see the section Common Features of SAS High-Performance Statistical Procedures in Chapter 4: Shared Statistical Concepts. The following remarks contrast the HPREG procedure with the GLMSELECT, GLM, and REG procedures in SAS/STAT software.

A major functional difference between the HPREG and REG procedures is that the HPREG procedure enables you to specify general linear models that include classification variables. In this respect it is similar to the GLM and GLMSELECT procedures. In terms of the supported model selection methods, the HPREG procedure most resembles the GLMSELECT procedure. Like the GLMSELECT procedure but different from the REG procedure, the HPREG procedure supports the LAR and LASSO methods, the ability to use external validation data and cross validation as selection criteria, and extensive options to customize the selection process. The HPREG procedure does not support the MAXR and MINR methods that are available in the REG procedure. Nor does the HPREG procedure include any support for the all-subset-based methods that you can find in the REG procedure.

The CLASS statement in the HPREG procedure permits two parameterizations: the GLM-type parameterization and a reference parameterization. In contrast to the GLMSELECT, GENMOD, LOGISTIC, and other procedures that permit multiple parameterizations, the HPREG procedure does not mix parameterizations across the variables in the CLASS statement. In other words, all classification variables are in the same parameterization, and this parameterization is either the GLM or reference parameterization.

Like the REG procedure but different from the GLMSELECT procedure, the HPREG procedure does not perform model selection by default. If you request model selection by using the SELECTION statement then the default selection method is stepwise selection based on the SBC criterion. This default matches the default method used in PROC GLMSELECT.

As with the REG procedure but not supported with the GLMSELECT procedure, you can request observation-wise residual and influence diagnostics in the OUTPUT statement and variance inflation and tolerance statistics for the parameter estimates. If the fitted model has been obtained by performing model selection, then these statistics are conditional on the selected model and do not take the variability introduced by the selection process into account.