The HPQUANTSELECT Procedure

If you have provided observations for validation, then you can specify STOP= VALIDATE as a suboption of the METHOD= option in the SELECTION statement. At step k of the selection process, the best candidate effect to enter or leave the current model is determined. Here "best candidate" means the effect that gives the best value of the SELECT= criterion; this criterion need not be based on the validation data. The validation ACL is computed for the model in which this candidate effect is added or removed. If this validation ACL is greater than the validation ACL for the model at step k, then the selection process terminates at step k.