HPlogistic variable selection

[shutfle1]

I am using a selection procedure within hplogistic on partitioned data.  I have set the entry to .001 and the stay to 0.01 and choose=validate.  However, I get some variables (that were not forced in) that have p>0.01.  Why is this happening?

PROC HPlogistic DATA=inpatient_outcomes;
PARTITION ROLEVAR = PART(TRAIN="1" VALIDATE="0");
model outcome (event='1')= var1 var2.....var30/ include=4;

SELECTION METHOD=stepwise (CHOOSE=VALIDATE sle=0.001 sls=0.01);
run;

[Ksharp]

Don't use STEPWISE selection . That would get you bigger Type I ERROR.

Try LASSO or ADPTIVE  via  PROC HPGENSELECT .

[StatDave]

This can happen because a step in the selection process consists of adding or dropping a single variable. Note that if a variable is added it is entirely possible that one or more of the other variables could have their p-values change to be larger than the SLS= criterion. Since the models at all of the steps are evaluated by the CHOOSE= criterion and one is selected as the final model, that model could be one where one or more of its variables has p-values greater than the SLS= criterion. If you want to ensure that this doesn't happen, you need to remove the CHOOSE= option so that the model in the last step is chosen.