topic Re: Tobit Model Variable Selection in SAS Procedures

Tobit Model Variable Selection

abhiadroit — Mon, 02 Jan 2017 11:41:52 GMT

I am modeling a Tobit model (Type 1) and need to know which procedure I can use for stepwise variable selection like in Proc Reg. Please provide the syntax.

Can I use the variables selected from Proc Reg stepwise method in Proc Qlim. Will the stepwise slection of variables from Proc Reg stay valid in Proc Qlim ? or because of different algorithms used in both Procs, my assumption is not valid.

Re: Tobit Model Variable Selection

mkeintz — Mon, 02 Jan 2017 21:38:41 GMT

The only question I dare answer here is the sas question: "which procedure I can use for stepwise variable selection like in Proc Reg", followed by a hopeful reference to PROC QLIM. QLIM does not appear to offer a stepwise option. I guess you could construct a set of TEST statements (with sets of coefficients set to zero), and then you can consider the contributions of each independent variable (or sets thereof).