The nine methods of model selection implemented in PROC REG are
specified with the SELECTION= option in the MODEL statement.
Each method is discussed in this section.
Full Model Fitted (NONE)
This method is the default and
provides no model selection capability.
The complete model specified in the
MODEL statement is used to fit the model.
For many regression analyses, this may be the only method you need.
Forward Selection (FORWARD)
The forward-selection technique
begins with no variables in the model.
For each of the independent variables, the FORWARD method
calculates F statistics that reflect the variable's
contribution to the model if it is included.
The p-values for these F statistics are compared
to the SLENTRY= value that is specified in the MODEL
statement (or to 0.50 if the SLENTRY= option is omitted).
If no F statistic has a significance level
greater than the SLENTRY= value, the FORWARD selection stops.
Otherwise, the FORWARD method adds the variable that
has the largest F statistic to the model.
The FORWARD method then calculates F statistics again
for the variables still remaining outside the
model, and the evaluation process is repeated.
Thus, variables are added one by one to the model until no
remaining variable produces a significant F statistic.
Once a variable is in the model, it stays.
Backward Elimination (BACKWARD)
The backward elimination technique begins by calculating F
statistics for a model, including all of the independent variables.
Then the variables are deleted from the model one by one until
all the variables remaining in the model produce F statistics
significant at the SLSTAY= level specified in the MODEL statement
(or at the 0.10 level if the SLSTAY= option is omitted).
At each step, the
variable showing the smallest contribution to the model is deleted.
The stepwise method is a modification of the
forward-selection technique and differs in that variables
already in the model do not necessarily stay there.
As in the forward-selection method, variables are added one
by one to the model, and the F statistic for a variable
to be added must be significant at the SLENTRY= level.
After a variable is added, however, the stepwise method
looks at all the variables already included in the
model and deletes any variable that does not produce
an F statistic significant at the SLSTAY= level.
Only after this check is made and the necessary deletions
accomplished can another variable be added to the model.
The stepwise process ends when none of the variables
outside the model has an F statistic significant at
the SLENTRY= level and every variable in the model is
significant at the SLSTAY= level, or when the variable
to be added to the model is the one just deleted from it.
Maximum R 2 Improvement (MAXR)
The maximum R2 improvement technique
does not settle on a single model.
Instead, it tries to find the "best" one-variable model, the
"best" two-variable model, and so forth, although it is not
guaranteed to find the model with the largest R2 for each size.
The MAXR method begins by finding the
one-variable model producing the highest R2.
Then another variable, the one that yields
the greatest increase in R2, is added.
Once the two-variable model is obtained, each of the variables
in the model is compared to each variable not in the model.
For each comparison, the MAXR method determines if removing one variable
and replacing it with the other variable increases R2.
After comparing all possible switches, the MAXR method makes the
switch that produces the largest increase in R2.
Comparisons begin again, and the process continues
until the MAXR method finds that no switch could increase R2.
Thus, the two-variable model achieved is considered the
"best" two-variable model the technique can find.
Another variable is then added to the model, and the
comparing-and-switching process is repeated to find
the "best" three-variable model, and so forth.
The difference between the STEPWISE method and the MAXR method is
that all switches are evaluated before any switch is made in the MAXR method .
In the STEPWISE method, the "worst" variable
may be removed without considering what adding the
"best" remaining variable might accomplish.
The MAXR method may require much more computer time than the STEPWISE method.
Minimum R 2 (MINR) Improvement
The MINR method closely resembles the MAXR method, but the switch chosen
is the one that produces the smallest increase in R2.
For a given number of variables in the model, the MAXR
and MINR methods usually produce the same "best"
model, but the MINR method considers more models of each size.
R 2 Selection (RSQUARE)
The RSQUARE method finds subsets of independent
variables that best predict a dependent variable
by linear regression in the given sample.
You can specify the largest and smallest number
of independent variables to appear in a subset and
the number of subsets of each size to be selected.
The RSQUARE method can efficiently perform all possible
subset regressions and display the models in decreasing
order of R2 magnitude within each subset size.
Other statistics are available for
comparing subsets of different sizes.
These statistics, as well as estimated regression
coefficients, can be displayed or output to a SAS data set.
The subset models selected by the RSQUARE method are optimal in terms of
R2 for the given sample, but they are not necessarily optimal
for the population from which the sample is drawn or for
any other sample for which you may want to make predictions.
If a subset model is selected on the basis of a large
R2 value or any other criterion commonly used for model
selection, then all regression statistics computed for that
model under the assumption that the model is given a priori,
including all statistics computed by PROC REG, are biased.
While the RSQUARE method is a useful tool for
exploratory model building, no statistical method
can be relied on to identify the "true" model.
Effective model building requires substantive theory to suggest
relevant predictors and plausible functional forms for the model.
The RSQUARE method differs from the other selection
methods in that RSQUARE always identifies the model with
the largest R2 for each number of variables considered.
The other selection methods are not guaranteed
to find the model with the largest R2.
The RSQUARE method requires much more computer time than the other selection
methods, so a different selection method such as the STEPWISE method is a
good choice when there are many independent variables to consider.
Adjusted R 2 Selection (ADJRSQ)
This method is similar to the RSQUARE method, except that the
adjusted R2 statistic is used as the criterion for
selecting models, and the method finds the models with
the highest adjusted R2 within the range of sizes.
Mallows' C p Selection (CP)
This method is similar to the ADJRSQ method, except that Mallows' Cp
statistic is used as the criterion for model selection. Models are
listed in ascending order of Cp.
Additional Information on Model-Selection Methods
If the RSQUARE or STEPWISE procedure (as documented in SAS
User's Guide: Statistics, Version 5 Edition) is requested, PROC
REG with the appropriate model-selection method is actually used.
Reviews of model-selection methods by Hocking (1976) and Judge
et al. (1980) describe these and other variable-selection methods.
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.