proc glmselect data=data1; by month; class day weekday year ; model percent_change = year| day | weekday dummy1 dummy2 dummy3 / selection=backward slstay=0.10 details=all stats=all ; output out=outdata predicted=p_expost residual=r_expost ; ods output ParameterEstimates=paramest; run; ods output off; I am trying to make a model using the year (2007 through 2015), the day of the month (1 through 28-31), and weekday (1 through7), as well as dummy variables, by month (so effectively 12 seperate models, one for each month). I want to start with all of the interaction terms and then use backward selection to end with only the most significant. However, when I run the model above, I get the note 'The SLSTAY= option has no effect with the selected options.' and all of my standard error and t-value columns for parameter estimates are empty. Is there a maximum number of interaction terms you can enter into the model (I'm at 182 total), or is there a problem with my code? Thanks in advance for the help!
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