proc glmselect example

[Babloo]

I'm trying to understand the proc glmselect  with simple example. However I could not find the example which can be easily understandable. 

May I request someone to provide or explain me the basic features of proc glmselect in simple terms?

[sbxkoenk]

Try these papers:

Paper 259-2009

Applications of the GLMSELECT Procedure for Megamodel Selection

Robert A. Cohen, SAS Institute Inc., Cary, NC

https://support.sas.com/resources/papers/proceedings09/259-2009.pdf

Paper 207-31 (2006)

Introducing the GLMSELECT PROCEDURE for Model Selection

Robert A. Cohen, SAS Institute Inc. Cary, NC

http://www2.sas.com/proceedings/sugi31/207-31.pdf

and a recent (2014) paper/presentation as well.

Model Selection for Linear Models with SAS/STAT Software

Funda Gunes

SAS Institute Inc.

http://www.amstat.org/meetings/csp/2014/onlineprogram/handouts/T3-Handouts.pdf

Koen

[Rick_SAS]

The basic idea is that you have a response variable that you want to model, and a candidate list of hundreds of possible explanatory variables. You are not sure which explanatory variables are important and which are not. That is, which variables are good for predicting the response? 

The GLMSELECT procedure enables you to throw hundreds of candidate variables into a MODEL statement. It supports running various algorithms that try to produce a parsimonious model based on those candidate variables.  In theory, the data themselves choose the variables that are important, rather than the analyst.

[Babloo]

Thank you for the explanation. May I request you to give the simple example?

[Rick_SAS]

Certainly. The "Getting Started" example in the PROC GLMSELECT documentation is a simple example. It provides a discussion of syntax and a discussion of how to interpret the output.

[mohamed_zaki]

What exactly you want to do using proc glmselect ...

SAS/STAT(R) 9.3 User's Guide: The GLMSELECT Procedure Examples

Introducing the GLMSELECT PROCEDURE for Model Selection