I asked SAS support and got a great reply in a day from Kathleen. The answer is below:   With selection-RSQUARE, ADJRSQ, and CP and n=number of regressors >=11, by default REG will only DISPLAY the best n subset models for each number of regressors. The best n one variable models, best n two  variable models, etc. These can be computed (using the Furnival and Wilson algorithm) without examining every possible model of every possible size and so this is typically much faster than if all models of each size need to be displayed.   By default, when you run PROC REG with the SELECTION=CP and the STOP=10 option, and you have 20 regressors in the model, PROC REG will display at most 20 models for each of the 1-variable models, 2-variable models, 3-variable models, ...through 10-variable models.  In other words, the maximum number of models displayed will be equal to the number of predictor variables in the MODEL statement (if the number of predictors listed in the MODEL statement is greater than 11).   To obtain more models than the number displayed by default, you will need to add the BEST= option to the MODEL statement.  For example, if you have 20 predictors in your MODEL statement, but you want to see up to 35 models in each of the possible subsets, then your PROC REG step would need to look something like: --------------------- proc reg data=test;   model y = x1-x20 / selection=rsquare stop=10 best=35; run; quit; ----------------------   I hope the above information is helpful.   Kathleen Kiernan Senior Principal Technical Support Statistician ... View more