In proc reg command, When we use 'selection=' option to select the best regression model based on various criteria (e.g. aic, cp, bic, rsquare and etc..) How does SAS come up with a single best model when it needs to consider the criteria all together simultaneously? I'm curious about this because I think different criteria may rank a model differently. c.f) proc reg data = /name of data/; model Y = X1 -- Xn / selection = adjrsq mse aic bic cp best = 1; run;quit;
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