topic Re: How does SAS select the best regression model under several criteria such as aic, cp, bic and et in New SAS User

How does SAS select the best regression model under several criteria such as aic, cp, bic and etc

kunee26 — Tue, 07 May 2024 08:47:23 GMT

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;

Re: How does SAS select the best regression model under several criteria such as aic, cp, bic and et

PaigeMiller — Tue, 07 May 2024 09:30:07 GMT

The selection of the model is based upon SELECTION=ADJRSQ, so the model with highest ADJRSQ is selected. It is not based upon aic bic cp etc. but those statistics are reported.

Re: How does SAS select the best regression model under several criteria such as aic, cp, bic and et

kunee26 — Tue, 07 May 2024 12:14:27 GMT

I've been searching around for this so long!

I feel like I've finally found oasis!

Thank you very much!