Parameters | Predictive Modeling | Model Selection Method

Model Selection Method
Use this drop-down menu to select the method to be used for selecting the final predictor variables.
Available methods are detailed in the following table:
Choose this option to use all of the variables and backward starts with all of them
Caution: Choosing this option can result in long run times when there are thousands of variables.
Caution: Choosing this option can result in long run times when there are thousands of variables.
Choose this option to perform a least-angle regression1, which begins with no effects. The parameter estimates at any step are shrunken when compared to the corresponding least squares estimates. If the model contains classification variables, then these classification variables are split.2 See the SPLIT option in the CLASS statement of SAS PROC GLMSELECT for details.
Choose this option to add and delete parameters based on a version of ordinary least squares where the sum of the absolute regression coefficients is constrained3. If the model contains classification variables, then these classification variables are split.2
Choose this option to augment the data and use a LASSO fit in accordance with an Elastic Net.4

1
Efron, B., T. Hastie, et al. (2004). Least angle regression. Annals of Statistics 32(2): 407–499.

2
See the SPLIT option in the CLASS statement of the SAS PROC GLMSELECT documentation for details.

3
Tibshirani, R. (1996). Regression shrinkage and selection via the lasso. J. R. Statist. Soc. B 58: 267–288.

4
See http://www.sas-programming.com/2011/04/elasticnet-in-sas.html for details.

To Specify the Method:
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