Hi, thank you for your reply. I may not quite understand you. I tried the stepwise regression but SAS reported insufficient memory. This means the explanatoy variables are too many (11,651), so SAS don't have enough memory for this proc. Did you mean I separate the dataset into several small ones and build a model on each of the small dataset? Actually I tried it. I sepatated the whole dataset into 2 small ones, the first one has the first 5,826 explanatory variables and the second one has the remaining 5,825 variables. Then I run the stepwise regression on both of them and built 2 models. The first model selected 10 variables and R square=0.24, the second model selected 155 variables and R square=1.0. But if I separte the whole dataset into different way, say the first 5,000 variables and then 6,651 variables, those model selected different variables and R square is different. Now I am really confusing about it. How can I separate the dataset and get the "best" result? Thanks, Elaine
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