I am fitting spline regression models using GLMSELECT. The code looks like this: PROC GLMSELECT DATA=DATESET; CLASS X; EFFECT SPL=SPLINE(X/SPLIT DEGREE=3); MODEL Y = X SPL/SELECTION=STEPWISE(CHOOSE=CV SELECT=SBC) CVMETHOD=INDEX(GROUP); BY W Z; RUN; Therefore, I will get around 200 models through the BY statement. Now I want to summarized my results and want to produce a table contains information from each model. So my questions are: 1. I would like a table containing all the models and the variables used in each model. Can I produce a table with model name as the column and variables as the row? 2. How to output the RMSE, Coefficient Variation and other statistics in a table for all models. 3. By the way, I need to know what is the difference between CHOOSE = and SELECT =. In Proc Reg, only Select = is enough to select best model. How does CHOOSE= work in GLMSELECT procedure? By the reading, it seems that SELECT= will produce some models not one? How to understand it? If I want to get the best predictive models, should I set CHOOSE=CV and SELECT=CV? Thank you very much.
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