11-25-2014 10:53 AM
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!