Model selection

[ZC]

Hello,

I am building model using PROC GLMSELECT with SELECT = ADJRSQ. Could anyone tell me how to set up a threshold for adjusted R-sqaure to decide addition a variable or not? For example, only when addition of a variable results in an increase of 0.01 in adjusted R-square, this variable will be retained in the model.

Thank you very much for your help!

[Ksharp]

Post it at SAS Statistical Procedures