I am trying to do backward/forward/stepwise regression while also calculating Cp's . However, instead of using the p-value (sle 0.05 for example) as the cut-off, I am supposed to use an F-value. Can someone help me with the syntax to carry this out ? Thanks
You can do this using PROC GLMSELECT, see the documentation for that PROC. But it's not a good way to do things. See my paper with David Cassell: Stopping Stepwise: Why stepwise procedures are bad and what you should use instead. Available in various places, most recently
Thanks Peter. I am trying to do this for a homework so I really am constrained in terms of choice of approach. I looked at the paper and I don't think it mentions how to use the F- value to stop the regression process. For instance, there is a part where it mentions the available stop criteria and there does not seem to be any mention of using F. I just want to be able to say, if F=4, remove/enter data. I'd like to know if SAS can do this. Thanks a lot for your time and for responding.