Using Proc Reg with categorical variables

[Paige]

> One thing that I had forgotten, as it is so new to
> SAS, is the SAS 9.2 procedure GLMSELECT. It fills
> the gap of allowing variable selection with CLASS
> variables. It also produces output that allow
> further analyses with REG and/or GLM.
>
> I haven't tried it, but it may help address some of
> the questions that you have posed here.
>
> Doc Muhlbaier

One thing that I feel needs to be pointed out here is that, despite the introduction of PROC GLMSELECT by SAS, many statisticians feel that STEPWISE (including forward and backward) model selection procedures is dangerous and misleading, and advise against using such. (Yes, I know there are other selection procedures in GLMSELECT, such as LAR and LASSO, which I have no knowledge of)

Further, it's not obvious to me that model selection procedures used on dummy variables representing a single categorical variable makes any sense.

[Doc_Duke]

Paige's point about the "value" of any stepwise process is valid. It's another tool that may or may not be appropriate in a given situation.

GLMSELECT treats a class variable as a single multi-degree of freedom test for inclusion/exclusion. Either all levels are in or all levels are out; it's not a piecemeal process.