04-18-2017 06:08 AM
When I run proc hpgenselect using the stepwise selection method I see that "effect hierarchy enforced" is none in the HTML output. I run it against the same data using backward selection method and get that "effect hierarchy enforced" is "single". Is there a way to set this parameter? I've googled this question and read the documentation and haven't been able to find the answer. Let me know!
04-18-2017 05:07 PM
It looks like HPGENSELECT does not support changing the default hierarchy option. If you have a linear model, you can use the HIERARCHY= option in PROC GLMSELECT. However, for HPGENSELECT, it looks like STEPWISE method always uses 'none' and the BACKWARD method always uses 'single.' (For a logistic model, PROC LOGISTIC also supports changing the hierarchy option.)
For what it's worth, the defaults are probably what you want. In particular, you would probably NOT want to change the BACKWARD method away from the default.It's not usually a good idea to remove main effects and keep the interaction effects.