Thank you for your help. I could try PRCO GENMOD... in DIST option do you know how many distributions are available? I disagree with you regarding the use of AIC. AIC is a holistic approach to comparing different models, it can do more than comparing various models that have different covariates (it is used to compare any parametric models as it uses likelihood function). AIC is used to test models that are not nested (but of course it can be used for nested models), for example if we have totally different models not only in covariates but also in methods used to fit the model we can compare which model is a better fit by comparing AICs. As distribution functions can differ in number of parameters to estimate and as AIC also takes this in to account (-2LL + 2p), AIC and other ICs, I believe, are the best way to compare parametric models. Please correct me if I'm wrong.
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