WARNING: The variable l12_drop_giv_obchan_other has zero or negative sum of squares after being adjusted for the intercept, if there is one. Hence, it will not be used in any subset selection.
Then the procedure stops. My code is this...
proc reg data = input_dataset;
model dep_var = <<< 32 independent vars >>>
/ selection = rsquare adjrsq cp
best = 3
Funny thing is it runs fine when there are 31 variables, but not when I add more. And it doesn't seem to matter which variable I added. All the values in the variables appear to be fine. I can't seem to find any documentation about this warning.
32 independent variables and no intercept? I certainly don't recommend doing that.
Can't add variable number 32, no matter what it is? Perhaps you have run out of degrees of freedom??
The whole idea of having 32 independent variables and then doing some variable selection is usually doomed to fail. A better approach, in my opinion, is something like Partial Least Squares regression, where you don't have to drop variables, and you find linear combinations of independent variables that are predictive of Y.