Hi all,
In order to assess the aptness of several possible subsets for multiple regression, I wanted to use amongst others Mallow's CP criterion. However, a very strange thing seems to be happening. When I perform the following commands, running on exactly the same data set, different CP values for the same model seem to appear. The first command:
proc reg data=model2 ;
model lny = X3-X8 X12-X22/selection=rsquare adjrsq cp press mse sse;
run;
quit;
This generated, as wanted, a list with all possible combinations of subsets of X variables, together with the specified selection criteria, such as CP. Then running a second command focusing on one particalur model:
proc reg data=model2 outest=temp ;
model lny = X3 X5 X12 X14 X15 X16 X17 X19 X20 X22/cp;
run;
quit;
The CP values for this specific model by using the first command differs compared to the second one. The only cause I could think of is that some other definitions for CP are used by both commands, due to the "selection" statement or something?
Can anyone understand the possible cause of this?
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