Dear community members I am using PROC REG to perform a ridge regression. I was wondering what command to use to calculate the Generalised Cross validation (GSV) in proc reg to obtain the value of k that yields the smallest GCV criterion.
I know how do so in R e.g in R we would
1. Create a regression object using the lm.ridge() function. For example: fox_ridge<-lm.ridge((bGSH~ln_bInAs + ln_bMMA + ln_bDMA + sex + cig + ln_age, lambda=seq(5,100,1)) ##Note that I have specified a range of values for k (called “lambda” in R). GCV tends to select values of k close to 0, so it is best to restrict the possible range of k values.
2. Obtain GCV criterion for each value of k using the code $GCV following your regression object. For example: fox_ridge$GCV
3. Select the value of k that yields the smallest GCV criterion
I however would like to know how to do so in SAS PROC reg command