topic Does SAS has procedure with automatic variable selection method for multinomial logit models? in Statistical Procedures

Does SAS has procedure with automatic variable selection method for multinomial logit models?

bncoxuk — Tue, 02 Aug 2011 20:03:10 GMT

I plan to use PROC CATMOD to fit a multinomial logit models. But it seemed that this procedure does not have the automatic variable selection method (e.g. stepwise, forward). So it takes time to manually exclude a variable. the problem is that the data set has over 5 million cases. It takes over 3 hours to run the model, and then wait there So to finish the model, it probably needs to take a few days with waiting.

Please advise.

Does SAS has procedure with automatic variable selection method for multinomial logit models?

lvm — Tue, 02 Aug 2011 21:53:07 GMT

Instead of CATMOD, you could use PROC LOGISTIC for stepwise variable selection. I assume the selection= option on the model statement works for multinomial logit models in LOGISTIC. Note: automatic selection methods are controversial, and can be very misleading. At best, you should use the results as an exploratory guide -- never just accept the final (automatic) variables that are selected.

For some exploratory work, you could make faster progress by considering a random sample of your 5 million observations, and using the sample for some modeling (at least initially). I am guessing that fits will occur much faster with 1 million or 500,000 observations.

Does SAS has procedure with automatic variable selection method for multinomial logit models?

bncoxuk — Wed, 03 Aug 2011 09:13:37 GMT

Hi Ivm,

LOGISTIC cannot run Multinomial logit models. If it does, then the model means cumulative logit model which is different from multinomial one.

Does SAS has procedure with automatic variable selection method for multinomial logit models?

lvm — Wed, 03 Aug 2011 13:02:44 GMT

The intro to the LOGISTIC procedure (User's Guide), and example 51.4 (v9.2) deal with generalized logits (not ordinal) and the multinomial problem. But I am guessing that you have a different modeling approach in mind. In that case, there is no variable selection method. But as I wrote above, I would be cautious of any automatic variable-selection method.

Does SAS has procedure with automatic variable selection method for multinomial logit models?

trekvana — Tue, 09 Aug 2011 14:02:44 GMT

bncoxuk-

proc logit can run multinomial models. use link=glogit in the model statement options