topic Setting constraints for multiple linear regression coefficients in SAS Programming

Setting constraints for multiple linear regression coefficients

Mbs270 — Mon, 03 Dec 2018 16:03:21 GMT

I plan on using proc reg to do multiple linear regression. I need to set a constraint on the coefficients SAS arrives at.

If Y = C1X1 + C2X2 + C3X3 + ..., I need the constraint that C1 > C2 > C3 ....

I've read about the restrict statement and proc calis but am not sure which to use. Thanks in advance.

Re: Setting constraints for multiple linear regression coefficients

PaigeMiller — Mon, 03 Dec 2018 16:09:42 GMT

There is no such constraint C1 > C2 > C3 ... possible in PROC REG. The only constraints possible in PROC REG are to see if a linear combination of regression coefficients is equal to a specific value (not greater than a specific value).

I'm not very familiar with PROC CALIS, but it appears that such a constraint is possible there.

Re: Setting constraints for multiple linear regression coefficients

Mbs270 — Mon, 03 Dec 2018 18:31:30 GMT

Can anyone offer insights on using proc calis to do what I want? Cannot find syntax examples for what I want to do on the internet.

Re: Setting constraints for multiple linear regression coefficients

PaigeMiller — Mon, 03 Dec 2018 19:01:19 GMT

Plenty of examples in the PROC CALIS documentation

https://documentation.sas.com/?cdcId=pgmmvacdc&cdcVersion=9.4&docsetId=statug&docsetTarget=statug_calis_toc.htm&locale=en

Re: Setting constraints for multiple linear regression coefficients

Ksharp — Tue, 04 Dec 2018 13:50:37 GMT

I remembered @Rick_SAS has written a blog about it. Check PROC HPGLM, GENMOD , HPREG , HPGLMSELECT

Re: Setting constraints for multiple linear regression coefficients

Rick_SAS — Tue, 04 Dec 2018 14:37:50 GMT

I believe you can use the RESTRICT statement in PROC HPGENSELECT. See the SAS Note for this situation.