Subject matter expertise. Really--it has less bias than other methods statistically, at least for variable selection.  There have been some significant discussions both here and on the SAS-L listserv about variable selection.  PROC GLMSELECT documentation under Model Selection Issues talks about many of the drawbacks. It also implements least angle regression (LAR) and LASSO methods.  It has been shown that these methods can be extended to logistic regression.  And of course, a lot depends on what the model is about--explanatory hypothesis testing or predictive ability. Get a copy of Frank Harrell's Regression Modeling Strategies for a good look at methodologies. Steve Denham ... View more