01-08-2013 11:50 AM
Is it possible to automatize the model selection (based on variable selection) in PROC MIXED (such as "selection" option in PROC REG for instance)?
Thnaking you in advance for your answer.
01-08-2013 12:01 PM
I don't think there is a selection = .... option in the model statement of the PROC MIXED.
Below is a paper that provides some macro that would do model selection - but be cautious.
And another discussion in this forum, related:
Best of luck,
01-08-2013 12:51 PM
It is not possible without going the macro route. There is a reason for that. Please review the article by Peter Flom and David Cassell at http://www.nesug.org/proceedings/nesug07/sa/sa07.pdf , regarding the dangers of stepwise/forward/backward/all possible subset variable selection methods.
Now, there is GLMSELECT to work on selecting fixed effects using LASSO or LAR methods. Also, check the discussion referenced by regarding selection of covariance structures and ranking of models using information criteria.