So upon some investigation... select=sl ... means to use the Score value. I change this to select=BIC and received the same result. The selection details still shows the Score output, but it appears that the method for selection did indeed change. Sharing the same results shouldn't be much of a shock seeing how Wald, Score, and LLR should all give approximately the same values. There issue with changing select from SL is that it appears I lose control over changing the value from which I want to enter variables based on p-value. This is an option I would like to retain. I would feel more comfortable if the calculations were done by LLR rather than Score. If this is an option, please show me where in the code this can be changed. Secondly, the results for the second variable to be included is not what I would expect. The first variable is X30, expected. The second variable that SAS wants to include is X16. However, when I choose X16 for inclusion in JMP, the LLR p-value is 0.0931. The value I expect to be added is X42, which JMP shows has a p-value of 0.0442. Based on these values, X42 provide greater explainitory power to the model than X16 would. SAS on the other hand provides the following Score values: X16=0.0584 and X42=0.1627. I understand why SAS would choose X16 over X42, but LLR should be more accurate than Score.
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