Hello, I am trying to run multiple linear regression using proc reg. It is a practice dataset where I am trying to create a predictive model of fuel efficiency from several predictors. When I run the code for stepwise regression, SAS is defaulting to an alpha = 0.15 significance level. I would like to run it at a different significance level, but the "ALPHA=" option does not seem to be working. I have tried putting the option in the data step when I create a new dataset from the original to code in two dummy vars. I have tried to put the option on the prog reg line. I have also put the option on the model statement line. Nothing is working. Here is my code (note I have tried several ways of putting the "ALPHA=" option as stated above) and the output showing the wrong significance level. Does anyone know why this might not be working? data Lab1.Auto_dummy;
set Lab1.Auto;
if Origin1 = 1 then dummy1 = 1;
if Origin1 = 1 then dummy2 = 0;
if Origin2 = 1 then dummy1 = 0;
if Origin2 = 1 then dummy2 = 1;
if Origin3 = 1 then dummy1 = 0;
if Origin3 = 1 then dummy2 = 0;
run;
proc reg data = Lab1.auto_dummy;
model MPG = Cylinders Displacement100ci Horsepower100
Weight1000lb Seconds0to60 Year dummy1 dummy2 / SELECTION=stepwise ALPHA=0.05;
run;
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