This is a vast subject, full of traps. Here is one approach. You should try doing a PCA (proc princomp) to determine roughly how many true independent factors are among your variables. Then you should look for best subsets of that size using best subset regression. Last, you should check, starting with the bestest subset, that the chosen variables are indeed uncorrelated (it is unlikely that correlated variables will turn out in the same subset). After all that, make sure the model makes sense, that it is meaningful! My two cents. PG ... View more