Questiion on Multiple Linear Regression (proc reg vs. proc glm and model selection)

[lousam]

  Hello, 

I am a new SAS user and I need help with clarifying any of the following concepts:

1. When conducting multiple linear regression using mostly continuous predictors, and one categorical predictor that was coded as 0/1 (for instance Sex: 0= male and 1=female), can you use proc reg (since the indicator variable is already created) or do you have to use proc glm with a class statement?

Can I use a code like this:

proc reg data=new;

model BMI = Sex Age Height Weight;

run;

2. Is there a difference between stepwise selection and lasso selection when trying to identify the best fit model?

I appreciate any insight you can offer for any of the questions. 

[WarrenKuhfeld · Accepted solution]

Yes you can use PROC REG with a 0/1 variable.

Lasso is one of many variable selection methods.  If you are interested in variable selection, see proc glmselect.

[KachiM]

You may remember:

Since your dependent variable, BMI, is computed using Height and Weight, the inclusion of the latter as independent variables,

will be highly correlated.