GLMSELECT Procedure

FROM http://support.sas.com/rnd/app/papers/glmselect.pdf

The GLMSELECT procedure performs effect selection in the framework of general linear models. A variety of model selection methods are available, including the LASSO method of Tibshirani (1996) and the related LAR method of Efron et al. (2004). The procedure offers extensive capabilities for customizing the selection with a wide variety of selection and stopping criteria, from traditional and computationally efficient significance-level-based criteria to more computationally intensive validation-based criteria. The procedure also provides graphical summaries of the selection search.

The GLMSELECT procedure compares most closely to REG and GLM. The REG procedure supports a variety of model-selection methods but does not support a CLASS statement. The GLM procedure supports a CLASS statement but does not include effect selection methods. The GLMSELECT procedure fills this gap. GLMSELECT focuses on the standard independently and identically distributed general linear model for univariate responses and offers great flexibility for and insight into the model selection algorithm. GLMSELECT provides results (displayed tables, output data sets, and macro variables) that make it easy to take the selected model and explore it in more detail in a subsequent procedure such as REG or GLM.

The main features of the GLMSELECT procedure are as follows：

Model Specification

supports different parameterizations for classification effects

supports any degree of interaction (crossed effects) and nested effects

supports hierarchy among effects

supports partitioning of data into training, validation, and testing roles

supports constructed effects including spline and multimember effects

Selection Control

 provides multiple effect selection methods

enables selection from a very large number of effects (tens of thousands)

offers selection of individual levels of classification effects

provides effect selection based on a variety of selection criteria

provides stopping rules based on a variety of model evaluation criteria

provides leave-one-out and -fold cross validation

Display and Output

produces graphical representation of selection process

produces output data sets containing predicted values and residuals

produces an output data set containing the design matrix

produces macro variables containing selected models

supports parallel processing of BY groups

supports multiple SCORE statements