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Example 2 for PROC GLMSELECT

/****************************************************************/
/*          S A S   S A M P L E   L I B R A R Y                 */
/*                                                              */
/*    NAME: glsex2                                              */
/*   TITLE: Example 2 for PROC GLMSELECT                        */
/*    DESC: Simulated Data                                      */
/*                                                              */
/* PRODUCT: STAT                                                */
/*  SYSTEM: ALL                                                 */
/*    KEYS: Model Selection, Cross Validation, Validation       */
/*   PROCS: GLMSELECT                                           */
/*                                                              */
/* SUPPORT: Robert Cohen                                        */
/****************************************************************/

data analysisData testData;
   drop i j c3Num;
   length c3$ 7;

   array x{20} x1-x20;

   do i=1 to 1500;
      do j=1 to 20;
         x{j} = ranuni(1);
      end;

      c1 = 1 + mod(i,8);
      c2 = ranbin(1,3,.6);

      if      i < 50   then do; c3 = 'tiny';     c3Num=1;end;
      else if i < 250  then do; c3 = 'small';    c3Num=1;end;
      else if i < 600  then do; c3 = 'average';  c3Num=2;end;
      else if i < 1200 then do; c3 = 'big';      c3Num=3;end;
      else                  do; c3 = 'huge';     c3Num=5;end;

      y = 10 + x1 + 2*x5 + 3*x10 + 4*x20  + 3*x1*x7 + 8*x6*x7
             + 5*(c1=3)*c3Num + 8*(c1=7)  + 5*rannor(1);

      if ranuni(1) < 2/3 then output analysisData;
                         else output testData;
   end;
run;

ods graphics on;

proc glmselect data=analysisData testdata=testData
               seed=1 plots(stepAxis=number)=(criterionPanel ASEPlot);
   partition fraction(validate=0.5);
   class c1 c2 c3(order=data);
   model y =  c1|c2|c3|x1|x2|x3|x4|x5|x5|x6|x7|x8|x9|x10
             |x11|x12|x13|x14|x15|x16|x17|x18|x19|x20 @2
           / selection=stepwise(choose = validate
                                select = sl)
             hierarchy=single stb;
run;

proc glmselect data=analysisData testdata=testData
               seed=1 plots(stepAxis=number)=all;
   partition fraction(validate=0.5);
   class c1(split) c2 c3(order=data);
   model y =  c1|c2|c3|x1|x2|x3|x4|x5|x5|x6|x7|x8|x9|x10
             |x11|x12|x13|x14|x15|x16|x17|x18|x19|x20 @2
           / selection=stepwise(stop   = validate
                                select = sl)
             hierarchy=single;
   output out=outData;
run;

proc print data=outData(obs=5);
run;

proc glmselect data=analysisData testdata=testData
               plots(stepAxis=number)=(criterionPanel ASEPlot);
   class c1(split) c2 c3(order=data);
   model y =  c1|c2|c3|x1|x2|x3|x4|x5|x5|x6|x7|x8|x9|x10
             |x11|x12|x13|x14|x15|x16|x17|x18|x19|x20 @2
           / selection = stepwise(choose = cv
                                  select = sl)
             stats     = press
             cvMethod  = split(5)
             cvDetails = all
             hierarchy = single;
   output out=outData;
run;

proc print data=outData(obs=8);
run;

proc glmselect data=analysisData testdata=testData plots=ASEPlot;
   class c1 c2 c3(order=data);
   model y =  c1|c2|c3|x1|x2|x3|x4|x5|x5|x6|x7|x8|x9|x10
             |x11|x12|x13|x14|x15|x16|x17|x18|x19|x20 @2
           / selection=forward(stop=none)
             hierarchy=single;
   performance buildSSCP = full;
run;

ods graphics off;