GLMSelect Example 1 Obs y x1 x2 x3 x4 x5 x6 x7 x8 x9 1 25.9 4.9176 1.0 3.4720 0.998 1.0 7 4 42 0 2 29.5 5.0208 1.0 3.5310 1.500 2.0 7 4 62 0 3 27.9 4.5429 1.0 2.2750 1.175 1.0 6 3 40 0 4 25.9 4.5573 1.0 4.0500 1.232 1.0 6 3 54 0 5 29.9 5.0597 1.0 4.4550 0.988 1.0 6 3 56 0 6 30.9 5.8980 1.0 5.8500 1.240 1.0 7 3 51 1 7 28.9 5.6039 1.0 9.5200 1.501 0.0 6 3 32 0 8 35.9 5.8282 1.0 6.4350 1.225 2.0 6 3 32 0 9 31.5 5.3003 1.0 4.9883 1.552 1.0 6 3 30 0 10 31.0 6.2712 1.0 5.5200 0.975 1.0 5 2 30 0 11 30.0 5.0500 1.0 5.0000 1.020 0.0 5 2 46 1 12 36.9 8.2464 1.5 5.1500 1.664 2.0 8 4 50 0 13 41.9 6.6969 1.5 6.9020 1.488 1.5 7 3 22 1 14 40.5 7.7841 1.5 7.1020 1.376 1.0 6 3 17 0 15 43.9 9.0384 1.0 7.8000 1.500 1.5 7 3 23 0 16 37.5 5.9894 1.0 5.5200 1.256 2.0 6 3 40 1 17 37.9 7.5422 1.5 5.0000 1.690 1.0 6 3 22 0 18 44.5 8.7951 1.5 9.8900 1.890 2.0 8 4 50 1 19 37.9 6.0831 1.5 6.7265 1.652 1.0 6 3 44 0 20 38.9 8.3607 1.5 9.1500 1.777 2.0 8 4 48 1 21 36.9 8.1400 1.0 8.0000 1.504 2.0 7 3 3 0 22 45.8 9.1416 1.5 7.3262 1.831 1.5 8 4 31 0 GLMSelect Example 2 The GLMSELECT Procedure Data Set WORK.PROPVAL Dependent Variable y Selection Method Stepwise with Competitive Drop Select Criterion Cross Validation Stop Criterion Cross Validation Cross Validation Method Random Cross Validation Fold 5 Effect Hierarchy Enforced None Random Number Seed 42715 Number of Observations Read 22 Number of Observations Used 22 Dimensions Number of Effects 9 Number of Parameters 9 GLMSelect Example 3 The GLMSELECT Procedure Stepwise Selection Summary Effect Effect Number Model Adjusted Step Entered Removed Effects In R-Square R-Square AIC AICC BIC 0 Intercept 1 0.0000 0.0000 104.7770 105.4086 80.3773 --------------------------------------------------------------------------------------------- 1 x4 2 0.4877 0.4621 92.0625 93.3958 68.0160 2 x2 3 0.5695 0.5241 90.2374 92.5903 66.1654 3 x3 4 0.6623 0.6060 86.8947 90.6447 63.8735 4 x5 5 0.7411 0.6802 83.0446 88.6446 62.4345 5 x4 4 0.7411 0.6980 81.0447 84.7947* 60.1485* 6 x7 5 0.7825 0.7313* 79.2175* 84.8175 60.5607 * Optimal Value Of Criterion Stepwise Selection Summary Effect Effect Step Entered Removed CP SBC PRESS ASE CV PRESS F Value 0 Intercept 54.3499 81.8681 866.8424 35.9013 800.4589 0.00 ---------------------------------------------------------------------------------------------- 1 x4 20.0895 70.2446 465.5181 18.3923 430.8797 19.04 2 x2 16.0107 69.5105 447.7607 15.4570 374.9785 3.61 3 x3 11.1089 67.2589 417.7352 12.1243 311.5447 4.95 4 x5 7.2460 64.4998 393.9600 9.2933 261.4441 5.18 5 x4 5.2462 61.4089 354.9429 9.2934 257.8421 0.00 6 x7 4.1731* 60.6727* 298.2442* 7.8095 233.1394* 3.23 * Optimal Value Of Criterion Stepwise Selection Summary Effect Effect Step Entered Removed Pr > F 0 Intercept 1.0000 ---------------------------------- 1 x4 0.0003 2 x2 0.0728 3 x3 0.0392 4 x5 0.0361 5 x4 0.9904 6 x7 0.0901 * Optimal Value Of Criterion GLMSelect Example 4 The GLMSELECT Procedure Selection stopped at a local minimum of the cross validation PRESS. Stop Details Candidate Candidate Compare For Effect CV PRESS CV PRESS Removal x7 257.8421 > 233.1394 GLMSelect Example 5 The GLMSELECT Procedure Selected Model The selected model is the model at the last step (Step 6). Effects: Intercept x2 x3 x5 x7 Analysis of Variance Sum of Mean Source DF Squares Square F Value Model 4 618.02063 154.50516 15.29 Error 17 171.80891 10.10641 Corrected Total 21 789.82955 Root MSE 3.17906 Dependent Mean 34.99545 R-Square 0.7825 Adj R-Sq 0.7313 AIC 79.21749 AICC 84.81749 BIC 60.56073 C(p) 4.17307 PRESS 298.24420 SBC 60.67270 ASE 7.80950 CV PRESS 233.13941 Cross Validation Details ---Observations--- Index Fitted Left Out CV PRESS 1 19 3 18.7872 2 12 10 197.0874 3 20 2 2.9715 4 16 6 13.0340 5 21 1 1.2593 ------------------------------------------ Total 233.1394 GLMSelect Example 6 The GLMSELECT Procedure Selected Model Parameter Estimates Standard -----Cross Validation Estimates---- Parameter DF Estimate Error t Value 1 2 3 4 5 Intercept 1 15.062032 4.470370 3.37 13.53 21.905 14.67 14.57 14.83 x2 1 13.236385 3.372020 3.93 13.33 13.458 13.76 11.64 13.37 x3 1 1.197545 0.379606 3.15 1.19 0.782 1.23 1.25 1.20 x5 1 4.471489 1.395484 3.20 5.20 4.781 4.43 4.03 4.51 x7 1 -2.758794 1.534972 -1.80 -2.56 -4.411 -2.86 -2.02 -2.78